Suppose you can only invest in the stock markets of two countries: US and China. The US
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose you can only invest in the stock markets of two countries: US and China. The US has an expected return of 5.0% and a standard deviation of 15.0%. China has an expected return of 7.0% and a standard deviation of 22.0%. The correlation between the returns in the two markets is 0.3. The risk-free rate is 3.0%. What is the maximum Sharpe ratio you can obtain (rounded to the nearest 0.001)?
Related Book For
Posted Date: