P(State) Consider the following information on two stocks: Stock A Stock B Boom 20% 30% 20% Normal 50% 12% -5% Slow 15% 4% 8% Recession 15% -10% 10% $Investment Beta Asset A $35,000 1.45 Asset B $15,000 0.85 Assuming a risk-free rate of 5%, calculate the portfolio's Sharpe Ratio. (Round to 4 decimals; hint: Sharpe ratio = (E(Ret) - Rf))/stdev).

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
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P(State)
Consider the following information on two stocks:
Stock A Stock B
Boom
20%
30%
20%
Normal
50%
12%
-5%
Slow
15%
4%
8%
Recession
15%
-10%
10%
$Investment Beta
Asset A $35,000 1.45
Asset B
$15,000
0.85
Assuming a risk-free rate of 5%, calculate the portfolio's Sharpe Ratio. (Round to 4 decimals;
hint: Sharpe ratio = (E(Ret) - Rf))/stdev).
Transcribed Image Text:P(State) Consider the following information on two stocks: Stock A Stock B Boom 20% 30% 20% Normal 50% 12% -5% Slow 15% 4% 8% Recession 15% -10% 10% $Investment Beta Asset A $35,000 1.45 Asset B $15,000 0.85 Assuming a risk-free rate of 5%, calculate the portfolio's Sharpe Ratio. (Round to 4 decimals; hint: Sharpe ratio = (E(Ret) - Rf))/stdev).
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