A portfolio has a variance of 0.0165,a beta of 1.05,and an expected return of 12.65 percent.What is the Sharpe ratio if the expected risk-free rate is 3.4 percent?
A) 0.66
B) 0.70
C) 0.72
D) 0.82
E) 0.86

Name: A portfolio has a variance of 0.0165,a beta of 1.05,and an expected return of 12.65 percent.What is the Sharpe ratio if the expected risk-free rate is 3.4 percent? A) 0.66 B) 0.70 C) 0.72 D) 0.82 E) 0.86
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Question

Quizplus · Accepted Answer

Sharpe ratio = (0.1265 − 0.034) / √0.0165 = 0.7201

A Portfolio Has a Variance of 0