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Consider a portfolio that consists of ABC and DEF. ABC / DEF Expected Return 0.15 / 0.12 Standard Deviation 0.20 / 0.16 Market Value (USD,

Consider a portfolio that consists of ABC and DEF.

ABC / DEF

Expected Return 0.15 / 0.12

Standard Deviation 0.20 / 0.16

Market Value (USD, Million) 25 / 15

Assume that the risk free rate is 0.02. The correlation between ABC and DEF is -0.3. What is the Sharpe ratio of the portfolio?

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