Question
Consider the following information: Portfolio Expected Return Standard Deviation Risk-free 7.0 % 0 % Market 10.4 22 A 9.0 10 a. Calculate the Sharpe ratios
Consider the following information:
| Portfolio | Expected Return | Standard Deviation | ||
| Risk-free | 7.0 | % | 0 | % |
| Market | 10.4 | 22 | ||
| A | 9.0 | 10 | ||
|
| ||||
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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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
