You are constructing a portfolio of two assets, Asset A and Asset B$.$ The

expected returns of the assets are $11$ percent and $14$ percent, respectively. The

standard deviations of the assets are $35$ percent and $43$ percent, respectively.

The correlation between the two assets is $0\mathrm{.}53$ and the risk$-$free rate is $3\mathrm{.}8$

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?

Note: A negative value should be indicated by a minus sign. Do not round

intermediate calculations. Round your Sharpe ratio answer to $4$ decimal

places and the $z-$score value to $3$ decimal places when calculating your

answer. Enter your smallest expected loss as a percent rounded to $2$

decimal places.