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Maximise the sharpe ratio

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Reference no: EM132999755

Security A has an expected return of 12% per year and a standard deviation of 15%. Security B has an expected return of 12% per year and a standard deviation of 30%.

-If the correlation coefficient between A and B is 0.2. Risk-free rate is 3% per year and an investor has put the same amount of money in A and B. What is the Sharpe ratio of this investment?

-If the correlation coefficient between A and B is -0.3, which asset(s) should an investor hold to maximise the Sharpe ratio of his/her investment?

Reference no: EM132999755

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