Question
Your complete portfolio is 70% invested in a risky asset and 30% invested in a Treasury bill (the risk-free asset) . The risky asset has
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Your complete portfolio is 70% invested in a risky asset and 30% invested in a Treasury bill (the risk-free asset) . The risky asset has an expected rate of return of 30% and a standard deviation of 25% and the Treasury bill has a rate of return of 5%. The Sharpe ratio of your complete portfolio is approximately _________.
0.84
1
1.5
0.93
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Finance For Non Financial Managers
Authors: Pierre Bergeron
6th Edition
0176501630, 9780176501631
