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What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent portfolio B, and 35 percent portfolio C? Asset A
What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent portfolio B, and 35 percent portfolio C? Asset A B Weight 40% 25% 35% Avg Return Std Dev Beta 15.30% 17.20% 1.56 10.50% 9.80% 0.95 13.30% 14.10% 1.25 The risk- free rate is 2.9 percent and the market risk premium is 8.6 percent. 0.054 0.070 0.081 0.062 0.102 What is the variance of the returns on a security given the following information? State of the Economy Boom Normal Recession Probabilit 0.25 0.45 0.30 E(R) 16% 10% -8% 72.87 64.38 48.18 56.23 91.35
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