The Expected Return of Security a Is 12% with a Standard

Multiple Choice

The expected return of Security A is 12% with a standard deviation of 15%.The expected return of Security B is 9% with a standard deviation of 10%.Securities A and B have a correlation of 0.4.The market return is 11% with a standard deviation of 13% and the risk-free rate is 4%.What is the Sharpe ratio of a portfolio if 35% of the portfolio is in Security A and the remainder in Security B?

A) 0.54
B) 0.61
C) 0.86
D) 1.02