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  3. is the optimal sharpe ratio in a portfolio of the

is the optimal Sharpe ratio in a portfolio of the two assets? What is the...

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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 2.5 percent? Answer Problems 19 through 21 based on the following information. You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 97. Year Fund Market Risk-Free -24.5% 1% 2015 2016 2017 2018 2019 -15.2% 25.1 12.4 6.2 19.5 9.4 7.6 3 2 4 2 -1.2 -2.2 19. Performance Metrics (L01, CFA7) What are the Sharpe and Treynor ratios for the fund

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