The annual returns of a stock have a normal distribution with a mean of 10% and a
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The annual returns of a stock have a normal distribution with a mean of 10% and a standard deviation of 20%. An investor has a portfolio with a beta of 1.5 and a risk-free rate of 3%. What is the expected return and the standard deviation of the portfolio? Calculate the portfolio's Sharpe ratio and interpret the result.
Related Book For
Data Analysis and Decision Making
ISBN: 978-0538476126
4th edition
Authors: Christian Albright, Wayne Winston, Christopher Zappe
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