Question: Statistics for three assets A B C are shown in the following tables: Asset A Asset B Asset C Standard deviation 20% 10% 20% Return
Statistics for three assets A B C are shown in the following tables:
| Asset A | Asset B | Asset C | |
| Standard deviation | 20% | 10% | 20% |
| Return | 10% | 7% | 10% |
Condition of returns
| Asset | A | B | C |
| A | 1.00 | -0.81 | 0.50 |
| B | 1.00 | -0.65 | |
| C | 1.00 |
On the basis of the information provided in the tables above, which of the following is FALSE?
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A portfolio composed of equal amounts of A&B has less risk than a portfolio having equal amounts of B&C. However, both portfolios will have the same return
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The risk of equal amounts of BC, C is less than the 10%
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The sharpe ratio of a portfolio comprised of equal amounts of A& B is less than a portfolio having equal amounts of B&C
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The return of equal amounts of B & C is 8.5%
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The correlation between A&B is less than that of B&C
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