What is the optimal sharpe ratio in a portfolio of two asset

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Reference no: EM131177089

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 15 percent and 18 percent, respectively. The standard deviations of the assets are 41 percent and 49 percent, respectively. The correlation between the two assets is 0.65 and the risk-free rate is 3.3 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 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: EM131177089

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