Portfolio A has a return of 9% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 33%.If the risk-free rate is 6% portfolio,then the Sharpe indices of A and B are:

A) $ A=0.1 ; B=0.5 $
B) $ \mathrm{A}=0.12 ; \mathrm{B}=0.45 $
C) $ A=0.12 ; B=0.5 $
D) $ A=0.5 ; B=0.12 $

Question

Portfolio A has a return of 9% and a standard deviation of 25%.Portfolio B has a return of 21% and a standard deviation of 33%.If the risk-free rate is 6% portfolio,then the Sharpe indices of A and B are:

A) $ A=0.1 ; B=0.5 $
B) $ \mathrm{A}=0.12 ; \mathrm{B}=0.45 $
C) $ A=0.12 ; B=0.5 $
D) $ A=0.5 ; B=0.12 $

Quizplus · Accepted Answer

Using equation 20.11,we can compute the Sharpe indices of A and B as follows: A: (0.09 - 0.06)/0.25 = 0.12;B: (0.21 - 0.06)/0.33 = 0.45.

Portfolio a Has a Return of 9% and a Standard A=0.1;B=0.5 A=0.1 ; B=0.5 A=0.1;B=0.5

Portfolio a Has a Return of 9% and a Standard $A=0.1 ; B=0.5$