Question
You are interested in a portfolio of two stocks: A and B. The average return and standard deviation of Stock A are 30% and 50%,
You are interested in a portfolio of two stocks: A and B. The average return and standard deviation of Stock A are 30% and 50%, respectively. The average return and standard deviation of Stock B are 9% and 21%, respectively. The correlation between the two stocks is -0.1. The risk-free rate is 2%. What is the Sharpe ratio for the optimal risky portfolio of the two stocks?
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Fundamentals Of Futures And Options Market
Authors: John C. Hull
6th Edition
0132242265, 9780132242264
