Abraham, Bernie, and Cecilia are Sharpe ratio maximisers. Having analysed all the companies on the stock market, they have uniform expectations on the future returns of all stocks, their volatilities, and the correlations between all the stocks. Based on this information, they have estimated that the expected return on the portfolio that maximises the Sharpe ratio is 3,9 per cent with a volatility of 11,3 per cent. The risk-free rate of return is 5,6 per cent. However, the persons are not uniform in their personal risk preferences. The risk aversion coefficients are the following:

• Abraham's risk aversion coefficient is 5. Let us call Abraham Person 1.
• Bernie's risk aversion coefficient is 6. Let us call Bernie Person 2.
• Cecilia's risk aversion coefficient is 2,5. Let us call Cecilia Person 3.

What is the Sharpe ratio of Person 2's portfolio?

Instructions:

• The answer is given using two decimal places.

• Should

  there be intermediate steps in your calculations, please remember to

  keep a large number of decimal places in all intermediate calculations,

  as the final answer needs to be exact.