Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three investments above...

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Finance

Expected Return
Standard Deviation
Portfolio A
12%
20%
Portfolio B
6%
12%
T-bill
3%
0%
You are an investment adviser and you have the three investmentsabove to recommend to your clients. The correlation between A and Bis -0.5.
Solve for the optimal risky portfolio and enter the weights as a%, 99% should be entered as 99.00%.
Percent invested in Portfolio A
Percent invested in Portfolio B
What is the standard deviation of the optimal riskyportfolio?
What is the expected return of the optimal risky portfolio?
What is the Sharpe ratio of the optimal risky portfolio?

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Transcribed Image Text

Expected ReturnStandard DeviationPortfolio A12%20%Portfolio B6%12%T-bill3%0%You are an investment adviser and you have the three investmentsabove to recommend to your clients. The correlation between A and Bis -0.5.Solve for the optimal risky portfolio and enter the weights as a%, 99% should be entered as 99.00%.Percent invested in Portfolio APercent invested in Portfolio BWhat is the standard deviation of the optimal riskyportfolio?What is the expected return of the optimal risky portfolio?What is the Sharpe ratio of the optimal risky portfolio?

Expected Return	Standard Deviation
Portfolio A	12%	20%
Portfolio B	6%	12%
T-bill	3%	0%