c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier...

   

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c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier which allows for risk-free investments. Portfolios A and B have the following expected returns and standard deviations of returns: E(r) STD 10% A 6% B 8% 15% i. If Portfolio C has an expected return equal to 12%, what are its Sharpe ratio and standard deviation of returns? What is the risk-free interest rate in the economy? (5 marks) c) Consider three portfolios A, B, and C. All three portfolios lie on the efficient frontier which allows for risk-free investments. Portfolios A and B have the following expected returns and standard deviations of returns: E(r) STD 10% A 6% B 8% 15% i. If Portfolio C has an expected return equal to 12%, what are its Sharpe ratio and standard deviation of returns? What is the risk-free interest rate in the economy? (5 marks)

Answer rating: 100% (QA)

To calculate the Sharpe ratio and standard deviation of Portfolio C we need additional information a... View the full answer