Question
1.Risk-free, risky and complete portfolios The risk-free rate is 4%. A risky portfolio, the Kelly Fund, has an expected rate of return of 11% and
1.Risk-free, risky and complete portfolios
The risk-free rate is 4%. A risky portfolio, the Kelly Fund, has an expected rate of return of 11% and a standard deviation of 21%.
A.What is the Sharpe ratio of the Kelly Fund?
B.If a client invests 50% in the Kelly Fund and 50% in the risk-free rate, what will be the expected return and standard deviation of their complete portfolio?
C.What is the Sharpe ratio of their complete portfolio?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes, Arshad Ahmad, Jordan Fortino
6th Canadian edition
1259453146, 978-1259453144
