Question
Assume that (i) the expected return on the stock market is 10% with a standard deviation of 20%, (ii) the expected return on gold is
Assume that (i) the expected return on the stock market is 10% with a standard deviation of 20%, (ii) the expected return on gold is 5% with a standard deviation of 25%, and (iii) the risk-free rate is 2%. Further assume the correlation between returns on stocks and those on gold is -0.5. Which of the following is closest to the volatility of a portfolio that is 80% stocks and 20% gold? Group of answer choices
14.2%
15.0%
10.2%
21.0%
2.01%
Using the information in the previous problem (#8), which of the following is closest to the Sharpe ratio of each of stocks and gold?
Group of answer choices
Sharpe ratio of Stocks= 0.40, of gold=0.12
Sharpe ratio of Stocks= 0.50, of gold=0.20
Sharpe ratio of Stocks= 0.50, of gold=0.12
Sharpe ratio of Stocks= 0.40, of gold=0.20
Using the information in the problem #8, which of the following is closest to the Sharpe ratio of the (80%stocks, 20%gold) portfolio?
0.49
0.40
0.55
0.34
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