Question
Use the following scenario analysis for stocks X and Y to answer the questions. Bear Normal Bull Market Market Market Probability 20.00% 45.00% 35.00% Stock
Use the following scenario analysis for stocks X and Y to answer the questions.
| Bear | Normal | Bull | |
| Market | Market | Market | |
| Probability | 20.00% | 45.00% | 35.00% |
| Stock X | -13.00% | 11.00% | 28.00% |
| Stock Y | -26.00% | 16.00% | 46.00% |
Assume you have a $200,000 portfolio and you invest $75,000 in stock X and the remainder in stock Y. If the riskfree rate of return is 3.50%, and we assume that the standard deviation of the excess returns on the portfolio is 18%, what is the Sharpe Ratio for this portfolio formed from stocks X and Y?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
9th Edition
73530700, 978-0073530703
