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Business, 24.10.2019 23:43 kiaragoodman7117

You are constructing a portfolio of two assets, asset a and asset b. the expected returns of the assets are 8 percent and 13 percent, respectively. the standard deviations of the assets are 30 percent and 38 percent, respectively. the correlation between the two assets is 0.43 and the risk-free rate is 5.6 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 5 percent

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