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You have access to two risky assets (Stocks A and B) and a riskless asset: a) What are the portfolio weights of the tangency (i.e.,

You have access to two risky assets (Stocks A and B) and a riskless asset:

a) What are the portfolio weights of the tangency (i.e., MVE) portfolio?

b) What is the Sharpe ratio of the tangency portfolio?

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Asset Expected Return 8% 12% 5% Standard Deviation 35% 50% Stock A Stock B Riskless Asset Correlation (A, B) 0.2

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