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Asset A has expected return of 1 2 % and volatility of 2 5 % . Asset B has expected return of 1 2 %

Asset A has expected return of 12% and volatility of 25%. Asset B has expected return of 12% and volatility of 25%. Asset B has higher proportion of idisyncratic risk than that of Asset A. How do the Sharpe ratios of these assets compare?

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