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Help Save & Exit You are analyzing a performance of a "Zero Hedge portfolio of the two synthetic risky assets. Asset A has an expected return of 10% and a standard deviation of 15%, while asset B has an expected return of 12% and a standard deviation of 18%. Your colleague asked you to calculate the Sharpe Ratio of the minimum variance portfolio of A and B and tells you that because the assets are synthetic their correlation is -1. You look up the Taill rate and for your required horizon it's 5%. You ponder a bit, scribble some numbers and tell him the answer Multiple Choice 118 0.01 None of the above 2.31 0.07