You are constructing a portfolio of two assets asset a and


You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 13 percent and 16 percent, respectively. The standard deviations of the assets are 39 percent and 47 percent, respectively. The correlation between the two assets is 0.61 and the risk-free rate is 5.3 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? (Negative amounts should be indicated by a minus sign. Round your Sharpe ratio answer to 4 decimal place and Probability answer to 2 decimal places. Omit the "%" sign in your response.)

Sharpe ratio            

Smallest expected loss %

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Financial Management: You are constructing a portfolio of two assets asset a and
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