Constructing portfolio of two assets

Assignment Help Financial Management

Reference no: EM131616694

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 13 percent and 16 percent, respectively. The standard deviations of the assets are 26 percent and 34 percent, respectively. The correlation between the two assets is 0.35 and the risk-free rate is 3.2 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 5 percent? (Negative amounts should be indicated by a minus sign. Round your Sharpe ratio answer to 4 decimal place & Probability answer to 2 decimal places. Omit the "%" sign in your response.)

Sharpe ratio

Smallest expected loss %

Reference no: EM131616694

Questions Cloud

What are net proceeds to country from this syndicated loan : What are the net proceeds to country from this syndicated loan?

What would be the effect on their profit margin : An American company export product to Japan which sells for 5000 yen. what would be the effect on their profit margin.

What are advantages and disadvantages : Also assume that the change is overall revenue neutral. What are the advantages and disadvantages?

Explain defining and measuring crime : Explain Defining and Measuring Crime, Utilize FBI Uniform Crime Report data and select one offense, such as burglary

Constructing portfolio of two assets : You are constructing a portfolio of two assets, Asset A and Asset B. What is the optimal Sharpe ratio in a portfolio of the two assets?

Determine flow rate of the air that the fan needs to deliver : A computer cooled by a fan contains eight printed circuit boards (PCBs), each dissipating 10 W of power. The height of the PCBs is 12 cm and the length.

Calculate net present value for the project : Using a cost of capital of 13% calculate the net present value for the project shown in the following table and indicate whether it is? acceptable.

Explain the security levels of federal prisons : Explain the security levels of federal prisons. Reference any information or images used in the matrix

Write a paper listing the network protocols : Write a 1- to 2-page paper listing the network protocols covered in the readings and discussing one protocol with which you have worked and are familiar.

User Account

All Pages