You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 23 percent, respectively. The standard deviations of the assets are 17 percent and 30 percent, respectively.
You are constructing a portfolio of two assets, Asset A and Asset
B. The expected returns of the assets are 12 percent and 23 percent, respectively. The standard deviations of the assets are 17 percent and 30 percent, respectively. The correlation between the two assets is 0.19 and the risk-free rate is 3 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places when calculating your answer. )
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The post You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 23 percent, respectively. The standard deviations of the assets are 17 percent and 30 percent, respectively. appeared first on Superb Professors.
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