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Consider stocks with the following statistics: Return and Volatility Asset A B Expected Return 13% 13% Volatility 30% 27% Correlation Matrix Asset A B
Consider stocks with the following statistics: Return and Volatility Asset A B Expected Return 13% 13% Volatility 30% 27% Correlation Matrix Asset A B C D A 1 0.44 1 0.49 0.4 -0.12 0.04 B 0.44 C 12% 20% C 0.49 0.4 1 0.28 D 11% 22% D -0.12 0.04 0.28 1 If the risk-free rate is 1%, what is the Shape ratio of the optimal risky portfolio? Please round your answer to 2 decimal places.
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Understanding Basic Statistics
Authors: Charles Henry Brase, Corrinne Pellillo Brase
6th Edition
978-1133525097, 1133525091, 1111827028, 978-1133110316, 1133110312, 978-1111827021
