Question
Suppose you are given the following information about 2 stocks, what is the Sharpe Ratio,return standard deviation of a portfolio weighted 55% in stock A
Suppose you are given the following information about 2 stocks, what is the Sharpe Ratio,return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? What weight will you give to A to maximize Sharpe ratio.
- E(RA)=16%E(RA)=16%
- E(RB)=8%E(RB)=8%
- A=22%A=22%
- B=12%B=12%
- A,B=0.003696A,B=0.003696
- rf= 3%
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley Eakins
6th Edition
0321374215, 9780321374219
