Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
ff2
Transcribed Image Text:7. Assume there are only 2 stocks in the universe of stock market. Based on the given data for 3
months, please calculate the expected return, standard deviation, Sharpe Ratio, geometric mean,
and arithmetic mean for Stock A, Stock B, and a portfolio that allocate equal weight for each
stock. (Excel recommended).
Jan
Feb
Mar
Exp Ret
Std Dev
Sharpe
GeoMean
ArthMean
Stock A
5%
-2%
6%
Stock B Portfolio 50/50
-1%
7%
2%
C. Portfolio 50/50
D. Risk-free assets
Risk-free
1%
1%
1%
1.00%
0.00%
Please answer which option is the best in terms of risk-return combination?
A. Stock A
B. Stock B
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