You are given the following information regarding the Russian markets. Russian Shares Russian Bonds Volatility 15% 4% Co

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answerhappygod
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You are given the following information regarding the Russian markets. Russian Shares Russian Bonds Volatility 15% 4% Co

Post by answerhappygod »

You are given the following information regarding the Russian
markets.
Russian Shares
Russian Bonds
Volatility
15%
4%
Correlation with global market
0.8
0.4
Degree of integration
0.7
0.7
Segmented market Sharpe ratio
0.3
0.2
The risk-free rate is 2% and the global Sharpe ratio is
0.25.
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