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La Strat gie A a un rendement attendu de 1 4 % et un b ta de 1 , 5 . Le taux sans risque

La Stratgie A a un rendement attendu de 14% et un bta de 1,5. Le taux sans risque est
de 3% et la prime de risque de march est de 6%. Le ratio Sharpe de la stratgie A est
de 0,7.
a. Quel est l'alpha de la stratgie A ?
b. Considrons un portefeuille qui a une pondration de 50% dans la stratgie A et
une pondration de 50% dans l'actif sans risque. Quel est le ratio Sharpe de ce
portefeuille?
c. Considrons le mme portefeuille qu' la partie b. Quel est l'alpha de ce
portefeuille ?(Astuce : calculez d'abord le rendement attendu et le bta du
portefeuille.)
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