Steve's portfolio has an expected return of 18% and is composed one third of risk-free...
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Accounting
Steve's portfolio has an expected return of 18% and is composed one third of risk-free asset with the remainder being invested in the tangency portfolio. Steve's portfolio has a Sharpe Ratio of 0.60, and the risk-free rate is equal to 2%. The variance of the tangency portfolio is _____________. Its expected return is equal to _____________.
a.
16.00% and 26.00%
b.
9.00% and 20.00%
c.
25.00% and 32.00%
d.
None of the other choices
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