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You are constructing a portfolio of two assets, asset X and asset Y. The expected returns of the assets are 20 percent and 10 percent,
You are constructing a portfolio of two assets, asset X and asset Y. The expected returns of the assets are 20 percent and 10 percent, respectively. The standard deviations of the assets are 30 percent and 8 percent, respectively. The correlation between the two assets is .40 and the risk-free rate is 4 percent. What is the optimal Sharpe ratio in a portfolio of the two assets?
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