a. A respected analyst forecasts that the return of the S&P 500 Index portfolio over the coming
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a. A respected analyst forecasts that the return of the S&P 500 Index portfolio over the coming year will be 10%. The one-year T-bill rate is 5%. Examination of recent returns of the S&P 500 Index suggest that the standard deviation of returns will be 18%. What does this information suggest about the degree of risk aversion of the average investor, assuming that the average portfolio resembles the S&P 500?
b. What is the Sharpe measure of the portfolio in (a)?
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Related Book For
Essentials Of Investments
ISBN: 9780073368719
7th Edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
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