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The expected return of Security A is 12% with a standard deviation of 15%. The expected return of ...

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The expected return of Security A is 12% with a standard deviation of 15%. The expected return of ...

The expected return of Security A is 12% with a standard deviation of 15%. The expected return of Security B is 9% with a standard deviation of 10%. Securities A and B have a correlation of 0.4. The market return is 11% with a standard deviation of 13% and the risk-free rate is 4%. What is the Sharpe ratio of a portfolio if 35% of the portfolio is in Security A and the remainder in Security B?

▸ 1.02

▸ 0.86

▸ 0.54

▸ 0.61

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Corporate Finance

Edition: 5^th

Author: Booth

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