You have collected information on three stocks A$,$ B$,$ and C$,$ with expected returns $18\mathrm{.}8\%,16\%,$ and $16\mathrm{.}7\%,$ respectively. The covariance matrix is shown below:

A

B

C

A

$0\mathrm{.}0492$

$-0\mathrm{.}0215$

$0\mathrm{.}0044$

B

$-0\mathrm{.}0215$

$0\mathrm{.}2359$

$0\mathrm{.}1319$

C

$0\mathrm{.}0044$

$0\mathrm{.}1319$

$0\mathrm{.}1554$

You are considering a portfolio that is made up of equal investments in A and B$.$ The risk$-$free interest rate is $3\mathrm{.}1\%.$ The Sharpe ratio of this portfolio is closest to:

Question $20$ Answer

a$.$

$0\mathrm{.}35.$

b$.$

$0\mathrm{.}58.$

c$.$

$1\mathrm{.}51.$

d$.$

$0\mathrm{.}93.$