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Standard deviation (%) Beta Security A 30 0.5 Security B 20 1.5 The portfolio is constructed with 40% invested in A, 60% in B. The
Standard deviation (%) | Beta | |
Security A | 30 | 0.5 |
Security B | 20 | 1.5 |
The portfolio is constructed with 40% invested in A, 60% in B. The correlation coefficient between A and B is -0.6.
a) What is portfolio Beta?
b) What is the standard deviation of the portfolio?
c) If the expect return for this portfolio is 14% and risk-free rate is 4%, what is the Sharpe ratio?
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