Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R p p p X 14.0 % 31
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | Rp | p | p | ||
| X | 14.0 | % | 31 | % | 1.35 |
| Y | 13.0 | 26 | 1.10 | ||
| Z | 7.0 | 14 | .75 | ||
| Market | 10.2 | 19 | 1.00 | ||
| Risk-free | 6.0 | 0 | 0 | ||
What are the Sharpe ratio, Treynor ratio, and Jensens alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Research In Finance Volume 24
Authors: Andrew H. Chen
1st Edition
0762313773, 978-0762313778
