Table attached shows the historical returns for Companies A, B and C If one investor has a portfolio consisting of 50% Company A and 50% Company B, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%? If another investor has a portfolio consisting of 1/3 Company A, 1/3 Company B and 1/3 Company C, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%?
Table attached shows the historical returns for Companies A, B and C If one investor has a portfolio consisting of 50% Company A and 50% Company B, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%? If another investor has a portfolio consisting of 1/3 Company A, 1/3 Company B and 1/3 Company C, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%?
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
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Table attached shows the historical returns for Companies A, B and C
- If one investor has a portfolio consisting of 50% Company A and 50% Company B, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%?
- If another investor has a portfolio consisting of 1/3 Company A, 1/3 Company B and 1/3 Company C, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.8%?
Transcribed Image Text:Year
1
2
3
4
er
5
6
7
8
9
10
Company A Company B Company C
30%
26%
47%
7%
15%
-54%
18%
-14%
15%
-22%
-15%
7%
-14%
2%
-28%
10%
-18%
40%
26%
42%
17%
-10%
30%
-23%
-3%
-32%
-4%
38%
28%
75%
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