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Computing the expected return of the us market

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Suppose that the expected return of the US market is 13.55% per year with volatility of 15.35%. The expected return of the GER market is 14.4% with volatility of 20.4%. The correlation between these two markets is 0.37. The risk-free rate is 7%. The tangency portfolio among US and GER has a portfolio weight in US of 65.7%. What is the highest achievable Sharpe Ratio among all possible portfolios of risky assets?

Reference no: EM132460373

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