Calculate the expected return and risk and sharpe ratio

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Reference no: EM131901958

You decide to invest 70% of your money in a portfolio P and 30% in T-bills. The portfolio P contains two risky securities A and B with a correlation of 0.2

a) For your overall investment to be optimal, what would be the portion of stock A and B in portfolio P (Hints: portfolio P is the optimal risky portfolio)?

b) If portfolio P is optimal, what are the expected return, risk and Sharpe ratio of this optimal risky portfolio P?

c) For your complete portfolio (portfolio C), what would be the portion of investment for stock A, stock B and T-bill?

d) Calculate the expected return, risk and Sharpe ratio of your complete portfolio (C).

	Return	StD
A	20%	0.3
B	10%	0.2
T-bill	5%	0

Reference no: EM131901958

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