You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...
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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 12.5% 11.5 7.1 10.5 6.2 Portfolio X Y Z Market Risk-free op Portfolio X Y Z Market 34% 29 19 24 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Pp 1.50 1.20 .80 1.00 0 Sharpe Ratio Treynor Ratio Jensen's Alpha % % % % You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 12.5% 11.5 7.1 10.5 6.2 Portfolio X Y Z Market Risk-free op Portfolio X Y Z Market 34% 29 19 24 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Pp 1.50 1.20 .80 1.00 0 Sharpe Ratio Treynor Ratio Jensen's Alpha % % % %
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Answer rating: 100% (QA)
Lets begin by calculating each of the ratios for the given portfolios Sharpe ratio Treynor ratio and Jensens Alpha The Sharpe ratio is defined as text... View the full answer
Related Book For
Financial Accounting
ISBN: 9781618533111
6th Edition
Authors: Michelle L. Hanlon, Robert P. Magee, Glenn M. Pfeiffer, Thomas R. Dyckman
Posted Date:
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