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 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 Risk-free Asset 4% Asset X 10% 20% Asset Y 6% 30%

Question 12 options:

Would go up

Would go down

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