You are analyzing a performance of a "Zero Hedge portfolio of the two synthetic risky assets. Asset A has an expected retum 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 Tell rate and for your required horizon It's 5%. You ponder a bit, scribble some numbers and tell him the answer. Multiple Choice 0.91 231 None of the above 0.91 2.31 None of the above 0.02 118