c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier which allows for risk-free investments. Portfolios A and B have the following expected returns and standard deviations of returns: E(r) | STD A 6% B 8% 15% 10% i. If Portfolio C has an expected return equal to 12%, what are its Sharpe ratio and standard deviation of returns? i. What is the risk-free interest rate in the economy?

Essentials Of Investments
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier which allows for risk-free investments. Portfolios A and B have the
following expected returns and standard deviations of returns:
E(r) | STD
A
6%
10%
В
8%
15%
i.
If Portfolio C has an expected return equal to 12%, what are its Sharpe ratio and standard deviation of returns?
ii.
What is the risk-free interest rate in the economy?
Transcribed Image Text:c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier which allows for risk-free investments. Portfolios A and B have the following expected returns and standard deviations of returns: E(r) | STD A 6% 10% В 8% 15% i. If Portfolio C has an expected return equal to 12%, what are its Sharpe ratio and standard deviation of returns? ii. What is the risk-free interest rate in the economy?
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