Suppose an analyst is valuing two markets, A and B . What is the equity risk premium for the two markets, their expected returns, and the covariance between them, given the following Sharpe ratio of...

Suppose an analyst is valuing two markets, A and B . What is the equity risk premium for the two markets, their expected returns, and the covariance between them, given the following
Sharpe ratio of the global portfolio 0.29Standard deviation of the global portfolio 8.0%Risk-free rate of return 4.5%Degree of market integration for Market A 80%Degree of market integration for Market B 65%Standard deviation of Market A 1 8%Standard deviation of Market B 26%Correlation of Market A with global portfolio 0.87Correlation of Market B with global portfolio 0.63Estimated illiquidity premium for Market A 0.0%Estimated illiquidity premium for Market B 2.4%