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?
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
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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