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A portfolio includes 30% of stock A and 70% of stock B. The expected return of stock A is 10% and the expected return of
Posted: Thu May 19, 2022 10:01 am
by answerhappygod
- A Portfolio Includes 30 Of Stock A And 70 Of Stock B The Expected Return Of Stock A Is 10 And The Expected Return Of 1 (17.03 KiB) Viewed 37 times
A portfolio includes 30% of stock A and 70% of stock B. The expected return of stock A is 10% and the expected return of stock B is 20%. The standard deviation of stock A's return is 0.6 and the standard deviation of stock B's return is 0.4. The correlation between the returns of asset A and asset B is 0.1. The risk-free rate is assumed to be 1%. What is the Sharpe ratio of the portfolio?