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QUESTION 43 A three-month Treasury bill is currently yielding 5%. The expected return and the standard deviation of the portfolio with the highest Sharpe ratio
QUESTION 43
- A three-month Treasury bill is currently yielding 5%. The expected return and the standard deviation of the portfolio with the highest Sharpe ratio equal 12.5% and 10%, respectively. Assuming the point of tangency between the investors indifference curve and the CML results in a return of 10.25%, compute for the standard deviation of the investors optimal portfolio.
| a. | 5% |
| b. | 7% |
| c. | 6% |
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