What is optimal sharpe ratio in portfolio of two assets

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Reference no: EM131616366

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 14 percent and 17 percent, respectively. The standard deviations of the assets are 40 percent and 48 percent, respectively. The correlation between the two assets is 0.63 and the risk-free rate is 4.3 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 16 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: EM131616366

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