Constructing portfolio of two assets

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Reference no: EM132029745

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 7 percent and 13 percent, respectively. The standard deviations of the assets are 33 percent and 41 percent, respectively. The correlation between the two assets is .49 and the risk-free rate is 5.8 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 2.5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and Probability answer to 2 decimal places. Omit the "%" sign in your response.)

Sharpe ratio

Smallest expected loss %

Reference no: EM132029745

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