The annual risk free rate is 0.02. We have the following information about three risky assets...

 

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The annual risk free rate is 0.02. We have the following information about three risky assets (on an annual basis). Asset 1 Asset 2 Asset 3 Expected return 10.09 0.06 0.12 Standard deviation 0.13 0.16 0.18 The correlation matrix of the three assets is: Asset 1 Asset 2 Asset 3 0.7 0.4 1 -0.2 -0.2 1 Asset 11 Asset 2 0.7 Asset 3 0.4 Calculate the expected return of the portfolio that maximises the Sharpe ratio. (Please provide the answer in decimal form to an accuracy of 4 decimal places.) The annual risk free rate is 0.02. We have the following information about three risky assets (on an annual basis). Asset 1 Asset 2 Asset 3 Expected return 10.09 0.06 0.12 Standard deviation 0.13 0.16 0.18 The correlation matrix of the three assets is: Asset 1 Asset 2 Asset 3 0.7 0.4 1 -0.2 -0.2 1 Asset 11 Asset 2 0.7 Asset 3 0.4 Calculate the expected return of the portfolio that maximises the Sharpe ratio. (Please provide the answer in decimal form to an accuracy of 4 decimal places.)

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