Constructing a portfolio of two assets

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You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 11 percent and 15 percent, respectively. The standard deviations of the assets are 23 percent and 31 percent, respectively. The correlation between the two assets is 0.29 and the risk-free rate is 3 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 1 percent?

Reference no: EM13765661

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