Question
A portfolio consists of the following two funds. Fund A Fund B Expected return 16% 9% Standard deviation 26% 11% Portfolio market value $24,000 $16,000
A portfolio consists of the following two funds.
Fund A Fund B
Expected return 16% 9%
Standard deviation 26% 11%
Portfolio market value $24,000 $16,000
Correlation (RA,RB) .28
Risk-free rate 4%
What is the Sharpe ratio of the portfolio?
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Analysis For Financial Management
Authors: Robert C. Higgins
5th Edition
0256167036, 9780256167030
