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The sample Sharpe Ratio is defined as the sample mean divided by the sample standard deviation. The Sharpe Ratio is commonly used to rank assets because it has the interpretation of return (sample mean) per unit risk (sample standard deviation). Thus, assets with higher Sharpe Ratios are often preferred to assets with lower Sharpe Ratios as this suggests a higher reward per unit of risk taken on. Sample statistics on monthly Amazon and Alibaba stock over the period 1 March 2017 - 1 January 2022 are given below. Alibaba Amazon Number of Observations 59 59 Mean 0.0091 0.0262 Standard Deviation 0.0994 0.0808 Note that the correlation between Alibaba and Amazon returns in this data is equal to 0.412. Consider a portfolio P = C₁ Alibaba + c₂ Amazon. Suppose that the portfolio weights are c₁ = 0.25 and c₂ = 0.75. Compute the Sharpe Ratio of P over the 59 days corresponding to the sample used to obtain the summary statistics.

The sample Sharpe Ratio is defined as the sample mean divided by the sample standard deviation. The Sharpe Ratio is commonly used to rank assets because it has the interpretation of return (sample mean) per unit risk (sample standard deviation). Thus, assets with higher Sharpe Ratios are often preferred to assets with lower Sharpe Ratios as this suggests a higher reward per unit of risk taken on. Sample statistics on monthly Amazon and Alibaba stock over the period 1 March 2017 - 1 January 2022 are given below. Alibaba Amazon Number of Observations 59 59 Mean 0.0091 0.0262 Standard Deviation 0.0994 0.0808 Note that the correlation between Alibaba and Amazon returns in this data is equal to 0.412. Consider a portfolio P = C₁ Alibaba + c₂ Amazon. Suppose that the portfolio weights are c₁ = 0.25 and c₂ = 0.75. Compute the Sharpe Ratio of P over the 59 days corresponding to the sample used to obtain the summary statistics.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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The sample Sharpe Ratio is defined as the sample mean divided by the sample standard deviation. The Sharpe Ratio is commonly used to rank assets because it has the interpretation of return (sample mean) per unit risk (sample standard deviation). Thus, assets with higher Sharpe Ratios are often preferred to assets with lower Sharpe Ratios as this suggests a higher reward per unit of risk taken on. Sample statistics on monthly Amazon and Alibaba stock over the period 1 March 2017 - 1 January 2022 are given below. 0.09 0.29 Alibaba Amazon 0.32 Number of Observations 59 59 3.96 Mean Note that the correlation between Alibaba and Amazon returns in this data is equal to 0.412. Consider a portfolio P = C₁ Alibaba + c₂ Amazon. Suppose that the portfolio weights are c₁ = 0.25 and c₂ = 0.75. 0.0091 0.0262 Compute the Sharpe Ratio of P over the 59 days corresponding to the sample used to obtain the summary statistics. Standard Deviation 0.0994 0.0808
Transcribed Image Text:The sample Sharpe Ratio is defined as the sample mean divided by the sample standard deviation. The Sharpe Ratio is commonly used to rank assets because it has the interpretation of return (sample mean) per unit risk (sample standard deviation). Thus, assets with higher Sharpe Ratios are often preferred to assets with lower Sharpe Ratios as this suggests a higher reward per unit of risk taken on. Sample statistics on monthly Amazon and Alibaba stock over the period 1 March 2017 - 1 January 2022 are given below. 0.09 0.29 Alibaba Amazon 0.32 Number of Observations 59 59 3.96 Mean Note that the correlation between Alibaba and Amazon returns in this data is equal to 0.412. Consider a portfolio P = C₁ Alibaba + c₂ Amazon. Suppose that the portfolio weights are c₁ = 0.25 and c₂ = 0.75. 0.0091 0.0262 Compute the Sharpe Ratio of P over the 59 days corresponding to the sample used to obtain the summary statistics. Standard Deviation 0.0994 0.0808
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