Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 13.5 % 35 % 1.55
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 13.5 | % | 35 | % | 1.55 |
| Y | 12.5 | 30 | 1.20 | ||
| Z | 7.1 | 20 | .80 | ||
| Market | 10.6 | 25 | 1.00 | ||
| Risk-free | 4.4 | 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.)
|
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Fundamental financial accounting concepts
Authors: Thomas P. Edmonds, Frances M. Mcnair, Philip R. Olds, Edward
8th edition
978-007802536, 9780077648831, 0078025362, 77648838, 978-0078025365
