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You have $25,000 invested in two mutual funds with the following characteristics: Mutual Fund A Mutual Fund B Amount Invested $ 10,000 $15,000 Expected
You have $25,000 invested in two mutual funds with the following characteristics: Mutual Fund A Mutual Fund B Amount Invested $ 10,000 $15,000 Expected Return 14% 12% Standard Deviation 25% 15% Beta 1.95 1.37 Correlation (PAB) 0.32 Risk-Free Rate 3.00% (A) Please calculate this portfolio's Sharpe Ratio. (B) Please calculate this portfolio's Treynor Ratio. (C) Based on the above, should you change the amounts you have invested in Fund A and Fund B (keeping your total investment at $25,000). Why or why not?
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Multinational financial management
Authors: Alan c. Shapiro
10th edition
9781118801161, 1118572386, 1118801164, 978-1118572382
