The table below shows historical end-of-week adjusted close prices (including dividends) for a stock and the S&P 500. A B C 1 Week Stock S&P 500 2 37.29 2,792 3 37.93 2,734 4 40.86 2,749 5 40.23 2,849 6 38.1 2,902 7 40.4 2,828 8 42.17 2,901 9 37.29 2,840 10 37.62 2,938 11 9 38.5 3,091 12 10 39.67 3,054 13 Sum 430.06 31,678=SUM(C2:C12) Copy and paste all data into your own spreadsheet. Calculate the sum of the prices for both assets to check that you copied all values correctly. If your sums match those shown above, you can delete row 13 in your spreadsheet. O 1 2 3 4 5 6 7 Part 10 Attempt 1/1 What is the annual Sharpe ratio of a portfolio with 80% invested in the stock and 20% in the S&P 500? The T-bill yield is still 2%. Assume that the stock has an expected return of 12% and the S&P 500 of 7% (both EARS), and that the annualized variances and covariance stay the same as in the past. Hint: The covariance of returns over N weeks is N times the weekly covariance. Hint: Since we're looking at only one period (of one year), the distinction between rebalancing and not rebalancing is irrelevant here. 3+ decimals Save Part 11 What is the annual Sharpe ratio of the optimal risky portfolio? 3+ decimals Save Attempt 1/1 The table below shows historical end-of-week adjusted close prices (including dividends) for a stock and the S&P 500. A B C 1 Week Stock S&P 500 2 37.29 2,792 3 37.93 2,734 4 40.86 2,749 5 40.23 2,849 6 38.1 2,902 7 40.4 2,828 8 42.17 2,901 9 37.29 2,840 10 37.62 2,938 11 9 38.5 3,091 12 10 39.67 3,054 13 Sum 430.06 31,678=SUM(C2:C12) Copy and paste all data into your own spreadsheet. Calculate the sum of the prices for both assets to check that you copied all values correctly. If your sums match those shown above, you can delete row 13 in your spreadsheet. O 1 2 3 4 5 6 7 Part 10 Attempt 1/1 What is the annual Sharpe ratio of a portfolio with 80% invested in the stock and 20% in the S&P 500? The T-bill yield is still 2%. Assume that the stock has an expected return of 12% and the S&P 500 of 7% (both EARS), and that the annualized variances and covariance stay the same as in the past. Hint: The covariance of returns over N weeks is N times the weekly covariance. Hint: Since we're looking at only one period (of one year), the distinction between rebalancing and not rebalancing is irrelevant here. 3+ decimals Save Part 11 What is the annual Sharpe ratio of the optimal risky portfolio? 3+ decimals Save Attempt 1/1
