The following data are available relating to the expected performance of Monarch, a risky portfolio:

1. What is the Sharpe ratio of the portfolio? *

a. 0.461

b. 1.775

c. 0.769

d. 2.958

e. None of the above

2. At which level of risk-aversion A is the risk-free asset preferred to the risky portfolio? *

a. A has to be lower than 3.55

b. A has to be higher than or equal to 3.55

c. A has to be higher than or equal to 2.36

d. A has to be lower than 2.36

e. None of the above

Monarch Portfolio 16% Expected Return Variance 0.0676 Beta 1.15 The risk-free return during the sample period was 4%