Question
Assume that you can borrow and lend at arisk-free rate of 3% and that the tangent portfolio of risky assets has an expected return of
Assume that you can borrow and lend at arisk-free rate of 3% and that the tangent portfolio of risky assets has an expected return of 15% and a standard deviation of return of 9%. Calculate the market price of risk, aka theSharperatio, for this portfolio.Hint thisis the slope of the CML for the risky portfolio.
a.1.33
b.0.50
c.0.85
d.-0.60
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International Economics
Authors: Thomas A. Pugel
15th edition
73523178, 978-0077769529, 007776952X, 978-0073523170
