Question
You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return
You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return at 18%.
| Security i | i | E(Ri) | (ei) |
| A | 0.9 | 6% | 22% |
| B | 0.6 | 7% | 8.5% |
| C | 1.7 | 9% | 18% |
a.Calculate the systematic risk for security A, B and C respectively.
b.Interpret the ei and (ei)
c. Which security has the highest Treynor ratio?
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Benchmarking Islamic Finance
Authors: Mohd Ma'Sum Billah
1st Edition
0367546469, 978-0367546465
