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The optimal risky portfolio has a Sharpe ratio of 0.8 and a standard deviation of 20%. The minimum variance portfolio in
Posted: Sun Oct 03, 2021 11:05 am
by answerhappygod
- The Optimal Risky Portfolio Has A Sharpe Ratio Of 0 8 And A Standard Deviation Of 20 The Minimum Variance Portfolio In 1 (28.88 KiB) Viewed 93 times
The optimal risky portfolio has a Sharpe ratio of 0.8 and a standard deviation of 20%. The minimum variance portfolio in the market has a standard deviation of 15% and an expected return of 12%. The risk-free rate is 1%. Alex is close to her retirement and willing to take on a low level of risk, with a maximum standard deviation of 10%. With an initial investment of $50,000, the maximum value her portfolio can achieve in one year's time is: $ . (assume all returns are quoted on annual basis.)