Assume the Sharpe ratio (slope) of the best feasible capital allocation line you can get by combining
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Question:
Assume the Sharpe ratio (slope) of the best feasible capital allocation line you can get by combining an optimal risky portfolio and a risk-free asset is 0.4. If the optimal risky portfolio has an expected return of 13% and a standard deviation of 26%, what should be the risk-free rate?
A. | 1.00% | |
B. | 2.60% | |
C. | 4.60% | |
D. | 8.84% | |
E. | 5.00% |
Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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