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Suppose you have two assets with a correlation in returns of 1. Asset A has the higher expected returns and higher risk compared to B.

Suppose you have two assets with a correlation in returns of 1. Asset A has the higher expected returns and higher risk compared to B. Which investment has the highest sharpe ratio: asset A, asset B, the minimum variance portfolio, or a portfolio which is split 50%/50% between assets A and B? Explain your answer.

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