22. Optimal Sharpe Ratio (LO3, CFA5) You are constructing a portfolio of two assets. Asset A has an expected return of 12 percent and a standard deviation of 24 percent. Asset B has an expected return of 18 percent and a standard deviation of 54 percent. The correlation between the two assets is .20 and the risk-free rate is 4 percent. To achieve the highest possible Sharpe ratio, what should be the weight of each asset in the portfolio?