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Portfolio Average Return Standard Deviation Beta A 14.7% 18.6% 1.47 B 8.8 14.2 .78 C 11.2 16.0 1.22 The risk-free rate is 4.5 percent and

Portfolio Average Return Standard Deviation Beta

A 14.7% 18.6% 1.47

B 8.8 14.2 .78

C 11.2 16.0 1.22

The risk-free rate is 4.5 percent and the market risk premium is 7 percent.

What is the Treynor ratio of a portfolio comprised of 30 percent portfolio A, 20 percent portfolio B, and 50 percent portfolio C?

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