The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino). portfolio return (rp) risk free interest rate (rf) std. deviation Beta market risk premium (rp- rf) A 18,00 11,00 6,00 1,24 7,00 B 12,00 11,00 2,00 0,87 1,00 C 9,00 11,00 0,50 - 0,73 - 2,00 D 15,00 11,00 3,00 0,46 4,00 Market 13,00 11,00 1,50 1 2,00
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino). portfolio return (rp) risk free interest rate (rf) std. deviation Beta market risk premium (rp- rf) A 18,00 11,00 6,00 1,24 7,00 B 12,00 11,00 2,00 0,87 1,00 C 9,00 11,00 0,50 - 0,73 - 2,00 D 15,00 11,00 3,00 0,46 4,00 Market 13,00 11,00 1,50 1 2,00
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 1QTD
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- The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino).
portfolio |
return (rp) |
risk free interest rate (rf) |
std. deviation |
Beta |
market risk premium (rp- rf) |
A |
18,00 |
11,00 |
6,00 |
1,24 |
7,00 |
B |
12,00 |
11,00 |
2,00 |
0,87 |
1,00 |
C |
9,00 |
11,00 |
0,50 |
- 0,73 |
- 2,00 |
D |
15,00 |
11,00 |
3,00 |
0,46 |
4,00 |
Market |
13,00 |
11,00 |
1,50 |
1 |
2,00 |
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