Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 14.0 % 31 % 1.35
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | P | P | ||
| X | 14.0 | % | 31 | % | 1.35 |
| Y | 13.0 | 26 | 1.10 | ||
| Z | 7.0 | 14 | .75 | ||
| Market | 10.2 | 19 | 1.00 | ||
| Risk-free | 6.0 | 0 | 0 | ||
| What is the Sharpe ratio, Treynor ratio, and Jensens alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen's alpha answers to 2 decimal places. Omit the "%" sign in your response.) |
| Portfolio | Sharpe Ratio | Treynor Ratio | Jensen's Alpha |
| X | % | ||
| Y | % | ||
| Z | % | ||
| Market | % | ||
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Handbook Of Asset And Liability Management Volume 2
Authors: S. A. Zenios, W. T. Ziemba
1st Edition
0444528024, 978-0444528025
