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  3. the market has an expected return of \10.90 and a

The market has an expected return of \10.90 and a standard deviation of \34.50. The...

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The market has an expected return of \10.90 and a standard deviation of \34.50. The risk free rate is \5.90. - Asset A has an expected return of \8.75, an alpha of \1.20, a beta of 0.33 , a standard deviation \( \sigma \) of \22.24, and a standard deviation of non-systematic risk \( \sigma_{\epsilon} \) of \19.10. - Asset B has an expected return of \16.25, an alpha of \2.10, a beta of 1.65 , a standard deviation \( \sigma \) of \58.89, and a standard deviation of non-systematic risk \( \sigma_{\varepsilon} \) of \15.10. Recall that the squared Sharpe ratio of an active portfolio is given by \( S_{P^{*}}^{2}=S_{M}^{2}+I R_{P^{*}}^{2} \), where \( I R_{P^{*}}=\frac{\alpha_{P^{*}}}{\sigma_{c_{P^{*}}}} \). What is the Sharpe ratio (not the squared Sharpe ratio) of the optimal, active portfolio constructed from these assets? a. 0.1996 b. 0.1765 c. 0.2105 d. 0.1884 e. 0.2046 f. 0.1947 g. 0.1715 h. 0.1825

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