Question
Consider the following information: Portfolio Expected Return Standard Deviation Risk-free 5.0 % 0 % Market 10.6 23 A 8.6 12 a. Calculate the Sharpe ratios
Consider the following information:
| Portfolio | Expected Return | Standard Deviation | ||
| Risk-free | 5.0 | % | 0 | % |
| Market | 10.6 | 23 | ||
| A | 8.6 | 12 | ||
|
| ||||
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?
y/n
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Financial Markets And Institutions
Authors: Stanley Eakins Frederic Mishkin
9th Global Edition
1292215003, 978-1292215006
