Question
What is the maximum sharpe ratio a manager can possibly achieve by combining the S&P benchmark with that of actively managed Integro mutual? Expected annual
What is the maximum sharpe ratio a manager can possibly achieve by combining the S&P benchmark with that of actively managed Integro mutual?
| Expected annual return | 10.0% | 11.5% |
| Return standard deviation | 19.0% | 26.0% |
| Sharpe ratio | 0.333 | 0.300 |
| Active return | 1.2% | |
| Active risk | 8.0% | |
| Information ratio | 0.15 |
Provide a quick summary on why you might believe the solution
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Optimization Methods In Finance
Authors: Gerard Cornuejols, Reha Tütüncü
1st Edition
0521861705, 978-0521861700
