A portfolio has a Sharpe ratio of 0.75,a standard deviation of 17.0 percent,and an expected return of 15.9 percent.What is the risk-free rate?
A) 1.98 percent
B) 2.36 percent
C) 2.48 percent
D) 3.09 percent
E) 3.15 percent

Name: A portfolio has a Sharpe ratio of 0.75,a standard deviation of 17.0 percent,and an expected return of 15.9 percent.What is the risk-free rate? A) 1.98 percent B) 2.36 percent C) 2.48 percent D) 3.09 percent E) 3.15 percent
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Question

Quizplus · Accepted Answer

0.75 = (0.159 - r_f) / 0.17; r_f = 3.15 percent

A Portfolio Has a Sharpe Ratio of 0