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

Multiple Choice

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