You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns...
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You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 16 percent, respectively. The standard deviations of the assets are 36 percent and 44 percent, respectively. The correlation between the two assets is 0.55 and the risk-free rate is 5.1 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? Note: 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. Sharpe ratio Smallest expected loss % You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 16 percent, respectively. The standard deviations of the assets are 36 percent and 44 percent, respectively. The correlation between the two assets is 0.55 and the risk-free rate is 5.1 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? Note: 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. Sharpe ratio Smallest expected loss %
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