Question $21$

Based on current dividend yields and expected capital caino, the expected rates of return on portfolios A and $8$ are $14\%$ and $11\%,$ respectively. The beta of $A$ is $1\mathrm{.}5,$ while that of $B$ is $0\mathrm{.}8.$ The T$-$bill rate is currently $6\%,$ while the expected rate of relurn of the SSP $500$ index is $12\%.$ The standard deviation of portfollo $A$ is $31\%$ anneally, while that of $8$ is $10\%,$ and that of the index is $20\%.$

Myou decided to imest in only one of these portlolior, which would you choose?

portiolio A $-$ its alpha is $-1\mathrm{.}0$ OS

nortioks e $-$ int when to $$ ON

portfolio A $-$ its Shape ratio is $0\mathrm{.}26$

perthotio $-$ ite chame ratio to och