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Question 19 12 pts Given the information about a risky portfolio, composed of stocks X...

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Question 19 12 pts Given the information about a risky portfolio, composed of stocks X and Y answer the following questions: Expected Weight Standard deviation return Stock X 0.2 22% 10% Stock Y 0.8 28% 15% Covariance of X and Y- 0.015 Risk-free rate 6% (a) What is the expected return of the portfolio? (ex. round 12.345 to 12.35 percent, do not include % sign nor write "percent") (b) What is the variance of the portfolio? (ex. round the variance up to the 4th decimal place: 0.12345 to 0.1235) (c) What is the standard deviation of the portfolio? (calculate using your answer from (b), do not include % sign nor write "percent") (d) What is the Sharpe ratio of the portfolio? (calculate using your answers from (a) to (c), round to the 2nd decimal place: 3.456 to 3.46) (e) What is the 5% VaR of the portfolio assuming normal distribution (use 5% of normal distribution=-1.645)? (ex. round 12.345 to 12.35 percent, do not include % sign nor write "percent") %

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