Question
Consider the following information: Portfolio Expected Return Standard Deviation Risk-free 6.0 % 0 % Market 13.8 39 A 11.8 28 a. Calculate the Sharpe ratios
Consider the following information:
| Portfolio | Expected Return | Standard Deviation | ||
| Risk-free | 6.0 | % | 0 | % |
| Market | 13.8 | 39 | ||
| A | 11.8 | 28 | ||
|
| ||||
a. Calculate the Sharpe ratios for the market portfolio and portfolio A. (Round your answers to 2 decimal places.)
| Sharpe Ratio | |
| Market portfolio | |
| Portfolio A | |
|
| |
b. If the simple CAPM is valid, is the above situation possible?
| Yes | |
| No |
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
7th Edition
007331465X, 978-0073314655
