Question
A portfolio consists of the following two funds: A: E(r) = 13%, Stdev = 16%, amount invested = $16,000 B: E(r) = 9%, Stdev =
A portfolio consists of the following two funds: A: E(r) = 13%, Stdev = 16%, amount invested = $16,000 B: E(r) = 9%, Stdev = 12%, amount invested = $8,000 Corr(A,B) = 0.6, Risk-free rate = 4%. What is the Sharpe ratio of the portfolio? (Hint: you need to find portfolio return and portfolio standard deviation).
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Case Studies In Finance
Authors: Robert F. Bruner
4th Edition
0072338628, 978-0072338621
