You have collected information on three stocks A, B, and C, with expected returns 17.2%, 22.5%, and 17.7%, respectively. The covariance matrix is shown below:

A

B

C

A

0.0662

-0.0241

0.0029

B

-0.0241

0.2124

0.1339

C

0.0029

0.1339

0.1443

You are considering a portfolio that is made up of equal investments in A and B. The risk-free interest rate is 4.9%. The Sharpe ratio of this portfolio is closest to:

a.

1.62.

b.

1.00.

c.

0.62.

d.

0.37.