What is the sharpe ratio of their portfolio

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There exists two risky funds and a risk free asset. The first fund in mainly in stocks, and the second in bonds. The stock fund has an expected return of 10% and variance of 25%. The bond fund has an expected return of 6% and a variance of 15%. The correlation between the stock and bond funds is 0.1. The risk free rate is 4%. The agent is a mean-variance optimizer with coefficient A = 1.5. what is the optimal fraction of their wealth to invest in each fund and the risk free asset? What is the Sharpe ratio of their portfolio?

Reference no: EM131849270

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