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You have the following information: Stock A B C D E F Market Alpha 1% 2% 3% -2% 0.2% -1% 0% Beta 1.25 1.5 0.95
You have the following information:
| Stock | A | B | C | D | E | F | Market |
| Alpha | 1% | 2% | 3% | -2% | 0.2% | -1% | 0% |
| Beta | 1.25 | 1.5 | 0.95 | 1.72 | 1.85 | 2.1 | 1 |
| Res. Variance | 3.00% | 2.00% | 3.24% | 6.00% | 3.90% | 9.00% | 0.00% |
| Std.Dev | 9% | 15% | 12% | 11% | 14% | 8.06% | 9% |
| Excess Return | 7% |
What is the Sharpe Ratio of the Single Index Model Portfolio?
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Foundations Of Statistics For Data Scientists With R And Python
Authors: Alan Agresti
1st Edition
0367748452, 978-0367748456
