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nitanikollaj nitanikollaj
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7 months ago
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%. Which one of the following is not an efficient portfolio, as determined by the lowest Sharpe ratio?

▸ 41% in A and 59% B is efficient.

▸ 100% invested in A is efficient.

▸ 100% invested in B is efficient.

▸ 59% in A and 41% B is efficient.
Textbook 
Corporate Finance

Corporate Finance


Edition: 5th
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xuelixueli
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7 months ago
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nitanikollaj Author
wrote...

7 months ago
this is exactly what I needed
Shuqin
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Yesterday
I appreciate what you did here, answered it right Smiling Face with Open Mouth
dianeflunder
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2 hours ago
Good timing, thanks!
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