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Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P ? P ? P X 13.5 % 35
| 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 Jensen |
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Risk Management And Financial Institutions
Authors: John C. Hull
3rd Edition
1118269039, 9781118269039
