Problem 13-18 Optimal Sharpe Portfolio Value-at-Risk (LO3, CFA6) You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 13 percent. respectively. The standard deviations of the assets are 32 percent and 40 percent, respectively. The correlation between the two assets is 47 and the risk-free rate is 3.6 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 16 percent? (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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Problem 13-18 Optimal Sharpe Portfolio Value-at-Risk (LO3, CFA6)
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 13 percent.
respectively. The standard deviations of the assets are 32 percent and 40 percent, respectively. The correlation between the two
assets is 47 and the risk-free rate is 3.6 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 16 percent? (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
%
Transcribed Image Text:Problem 13-18 Optimal Sharpe Portfolio Value-at-Risk (LO3, CFA6) You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 13 percent. respectively. The standard deviations of the assets are 32 percent and 40 percent, respectively. The correlation between the two assets is 47 and the risk-free rate is 3.6 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 16 percent? (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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