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Portfolio A has an expected return of 28% and a standard deviation of 38% when the risk free rate is 5%. The market portfolio has
Portfolio A has an expected return of 28% and a standard deviation of 38% when the risk free rate is 5%. The market portfolio has an expected return of 26% and a standard deviation of 35%. Based on this data, which of the following conclusions are correct? |
I. This situation is inconsistent with the CAPM |
II. The Sharpe ratio for Portfolio A = 0.6053 |
III. The Sharpe ratio for the market portfolio = 0.6 |
IV. This situation is consistent with the CAPM |
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