Problem $13-18$ Optimal Sharpe Portfolio Value$-$at$-$Risk $($LO$3,$ CFA$6)$

You are constructing a portfolio of two assets, Asset A and Asset B$.$ The expected returns of the assets are $10$ percent and $13$ percent,

respectively. The standard deviations of the assets are $32$ percent and $40$ percent, respectively. The correlation between the two

assets is $\mathrm{.}47$ and the risk$-$free rate is $3\mathrm{.}6$ 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 $16$ percent? $($A negative value should be indicated by a

minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to $4$ decimal places and the z$-$score value to

$3$ decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to $2$ decimal places.$)$