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H Boeing Kellogg Risk-free BA K Rate Average 10.75% 6.28% 2% 3 Variance 0.1152) 0.0166 4 Sigma 33.94% 12.87% 5 Cov(BAK) -0.0043 6 7 Part A. Consider a portfolio consisting of BA and K only. Given the investment allocation below, calculate portfollo's Sharpe ratio and other statistics 8 Percentage in BA 50.00% 9 Percentage in K 50.00% 10 Expected portfolio return, Elra) 8.51% 11 Portfolio standard deviation, 17.85% 12 Sharpe Ratio 0,1120 13 14 Part B. Now consider adding the risk-free asset to the portfolio In Part A. Given the investment allocation below, calculate portfolio's expected return and standard deviation 15 Percentage in portfolio (BA and K) 70% 16 Percentage in risk-free asset 30% 17 Expected portfolio return 6.56% 18 Portfolio standard deviation 19 20 Part B. Identify the market portfolio, the Intercept and the slope of the capital market line (CML) equation 21 Percentage of BA in the market portfolio 22 Percentage of K in the market portfolio 23 CML Intercept 24 CML slope 25 Part C if you invest 20% in the risk-free asset a rest in the market portfolio, what are your portfolio 26 expected return and standard deviation? 27 Percentage of investment in the risk free asset 20 Percentage of investment in the market portfolio 29 Expected portfolio return, Er) 30 Portfolio standard deviation, 31 32

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