Jse this input to answer following questions: You manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 20%. The T-bill rate is 8%. a) Your client chooses to invest 60% of a portfolio in your fund and remaining money in an essentially isk-free money market fund. What is the expected value and standard deviation of the rate of retum on nis portfolio? (2 Marks) b) What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? (1 Mark)

Jse this input to answer following questions: You manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 20%. The T-bill rate is 8%. a) Your client chooses to invest 60% of a portfolio in your fund and remaining money in an essentially isk-free money market fund. What is the expected value and standard deviation of the rate of retum on nis portfolio? (2 Marks) b) What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? (1 Mark)

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

Problem 1PS

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