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(b) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in
(b) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in part (a) of this question, where it is assumed that a risk-free rate of 3% prevails. From this, calculate the Sharpe ratio of the optimal risky portfolio. (10 marks)
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Understanding financial statements
Authors: Lyn M. Fraser, Aileen Ormiston
9th Edition
136086241, 978-0136086246
