问题求助（为啥Quiz 20-3)是负的算Sharpe's ratio ?

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Quiz 20-3:

You are given two nondividend paying asset X(t) and Y(t) satisfying the following stochastic differential equations:

dX(t)=0.15X(t)dt+0.2X(t)dZ(t)
dY(t)=0.0975Y(t)dt-0.15Y(t)dZ(t)

Determine the continuous compounded risk-free rate.

Solution:

(0.15-r)/0.2=(0.0975-r)/(-0.15)

So r=0.12

我是除0.15,认为volatility为正，为啥不对呀？ 请牛人指点；

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关键词：sharpe ratio Sharp quiz ARP continuous following paying

Find the answer in the next two pages. It is the issue of hedging using two negative correlated assets !

A negative volatility is allowed in the sharpe ratio or when parameterizing an Ito process.