There are just two risky assets in the market portfolio of a hypothetical economy. The following are the historical retu
Posted: Mon May 02, 2022 8:50 am
There are just two risky assets in the market portfolio of a
hypothetical economy. The following are the historical returns from
the two assets in this economy:
Asset 1 Asset 2
7% 2%
1% 4%
13% 8%
4% 12%
10% 5%
2% 3%
-2% 14%
5% 12%
-7% 2%
9% -3%
In addition, there is a risk-free asset that gives a return of
1.7%. Asset 1 and Asset 2 have the same market capitalization.
Calculate the historical Sharpe ratio of the market portfolio over
this sample.
hypothetical economy. The following are the historical returns from
the two assets in this economy:
Asset 1 Asset 2
7% 2%
1% 4%
13% 8%
4% 12%
10% 5%
2% 3%
-2% 14%
5% 12%
-7% 2%
9% -3%
In addition, there is a risk-free asset that gives a return of
1.7%. Asset 1 and Asset 2 have the same market capitalization.
Calculate the historical Sharpe ratio of the market portfolio over
this sample.