The return of Portfolio A is given by = +r++(-rf)+. The Sharpe ratio and Jensen's alpha...
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The return of Portfolio A is given by = +r++(-rf)+. The Sharpe ratio and Jensen's alpha of portfolio A are 0.10 and 0.004, respectively. Shock & is uncorrelated with the market portfolio. The risk-free rate is r =3%, the expected return E[r] and volatility M of the market portfolio are 7% and 40%, respectively, and the correlation coefficient between A and the market portfolio return r is 0.7. What are the expected return and volatility of portfolio A? The return of Portfolio A is given by = +r++(-rf)+. The Sharpe ratio and Jensen's alpha of portfolio A are 0.10 and 0.004, respectively. Shock & is uncorrelated with the market portfolio. The risk-free rate is r =3%, the expected return E[r] and volatility M of the market portfolio are 7% and 40%, respectively, and the correlation coefficient between A and the market portfolio return r is 0.7. What are the expected return and volatility of portfolio A?
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The expected return ErA of portfolio A can be calculated using the Sharpe ratio S riskfree rate ... View the full answer
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