You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 13 percent and 16 percent, respectively. The standard deviations of the assets are 39 percent and 47 percent, respectively. The correlation between the two assets is 0.61 and the risk-free rate is 5.3 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?

Group of answer choices

0.1984; (63.42%)

0.2158; (55.76%)

0.2269; (68.53%)

0.2571; (57.34%)

0.2394; (77.60%)