Suppose that the CAPM is valid and that the market portfolio consists of 60% stocks and 40% bonds. The standard deviatio
Posted: Fri Jul 01, 2022 7:43 am
Suppose that the CAPM is valid and that the market portfolioconsists of 60% stocks and 40% bonds. The standard deviation of theretuns on stocks and bonds are 20 and 10%, respectively. Thecorrelation between the returns on stocks and bonds is 0.25. Thesharpe ratio of the market portfolio is 0.4.