Question
Suppose that tangency portfolio has expected return of 15% and standard deviation of 12%. Riskfree lending rate is 3% and riskfree borrowing rate is 5%.
Suppose that tangency portfolio has expected return of 15% and standard deviation of 12%. Riskfree lending rate is 3% and riskfree borrowing rate is 5%. An investor buys the optimal portfolio on the margin. What would be the Sharpe ratio of his portfolio?
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
