What is optimal sharpe ratio in portfolio of two assets

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Reference no: EM13913099

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 .63 and the risk-free rate is 4.3 percent. What is the optimal Sharpe ratio in a portfolio of the two assets?

Reference no: EM13913099

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