Question: Assume that the correlation coefficient between returns on X and Y is 0.2. If the correlation coefficient was -0.5 instead of 0.2, then the Sharpe

Assume that the correlation coefficient between returns on X and Y

Assume that the correlation coefficient between returns on X and Y is 0.2. If the correlation coefficient was -0.5 instead of 0.2, then the Sharpe ratio of the 60% Asset X, 40% Asset Y portfolio E(r) Standard Deviation 4% Risk-free Asset Asset x 10% 20% Asset Y 6% 30% Would go down Would go up

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