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There are two risky and a risk-free asset Suppose that the assumptions of modern portfolio...

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Accounting

There are two risky and a risk-free asset

Suppose that the assumptions of modern portfolio theory are satisfied.

Assume two investors that have optimally chosen their portfolios according to the modern portfolio theory:

Investor 1 Expected return = 6.7%, std deviation = 19%

Investor 2 Expected return = 7.8% std deviation = 10%

What is the highest Sharpe ratio investors can expect to earn in this economy?

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