Business, 12.05.2021 03:50 pooh969owys2a

Suppose you can only invest in the stock markets of two countries: US and China. The US has an expected return of 5.0% and a standard deviation of 15.0%. China has an expected return of 7.0% and a standard deviation of 22.0%. The correlation between the returns in the two markets is 0.3. The risk-free rate is 3.0%. What is the maximum Sharpe ratio you can obtain (rounded to the nearest 0.001)

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Suppose you can only invest in the stock markets of two countries: US and China. The US has an expec...

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