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 12 percent and 26 percent, respectively. The standard deviations of the assets are 13 percent and 34 percent, respectively. The correlation between the two assets is 0.19 and the risk-free rate is 4 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places when calculating your answer.)

Reference no: EM131931140

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