ESSENTIALS OF INVESTMENTS SELECT CHAPT
17th Edition
ISBN: 9781307126228
Author: Bodie
Publisher: MCG/CREATE
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Chapter 5, Problem 14PS
For Problems 12-16, assume that you manage a risky portfolio with an expected
14. Suppose the same client as in the previous problem prefers to invest in your portfolio a proportion (y) that maximizes the expected return on the overall portfolio subject to the constraint that the overall portfolio’s standard deviation will not exceed 20%. (LO 5-3)
a. What is the investment proportion, y?
b. What is the expected rate of return on the overall portfolio?
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4. Suppose portfolio P's expected return in 12%, its volatility (standard deviation) is 20%, and the risk-free
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a. Compute for the Sharpe ratio of P.
b. Compute for the Sharpe ratio of P'.
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4
Chapter 5 Solutions
ESSENTIALS OF INVESTMENTS SELECT CHAPT
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