Constructing portfolio of two assets

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You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 9 percent and 14 percent, respectively. The standard deviations of the assets are 25 percent and 33 percent, respectively. The correlation between the two assets is 0.33 and the risk-free rate is 4.2 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 2.5 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.)

Reference no: EM131617081

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