Question
Consider the following information: Portfolio Expected Return Standard Deviation Risk-free 5.0 % 0 % Market 11.2 26 A 9.2 15 a. Calculate the Sharpe ratios
Consider the following information:
| Portfolio | Expected Return | Standard Deviation | ||
| Risk-free | 5.0 | % | 0 | % |
| Market | 11.2 | 26 | ||
| A | 9.2 | 15 | ||
|
| ||||
a. Calculate the Sharpe ratios for the market portfolio and portfolio A. (Round your answers to 2 decimal places.)
| Sharpe Ratio | |
| Market portfolio | .24 |
| Portfolio A | .28 |
|
| |
b. If the simple CAPM is valid, is the above situation possible? Why or why not?
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Technology And Finance Challenges For Financial Markets Business Strategies And Policy Makers
Authors: Morten Balling, Frank Lierman, Andy Mullineux
1st Edition
041529827X, 978-0415298278
