Question
Consider Stock A with an alpha of 2%, a beta of 1.5, and a firm-specific standard deviation of 25%. The market has a standard deviation
Consider Stock A with an alpha of 2%, a beta of 1.5, and a firm-specific standard deviation of 25%. The market has a standard deviation of 15% and a risk premium of 5%. What is the Sharpe ratio of a portfolio that has a weight of 0.5 in Stock A and 0.5 in the Market?
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McMillan On Options
Authors: Lawrence G. McMillan
2nd Edition
0471678759, 978-0471678755
