You are managing an equal-weighted portfolio of stocks

You are managing an equal-weighted portfolio of stocks

Question # 00422246 Posted By: katetutor Updated on: 11/12/2016 12:00 AM Due on: 11/12/2016
Subject Finance Topic Finance Tutorials:
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You are managing an equal-weighted portfolio of stocks on behalf of your company’s treasury. Assume that stock A and stock B are two risky assets. C is a risk-free asset.
The details of these stocks are below:
Stock A Stock B C (Risk-free asset rf)
Average return 7.00% 15.00% 2.00%
Variance of return 0.0064 0.0196
Sigma of return 8.00% 14.00%
Covariance of returns 0.0011
Required

Using the information in the above stated table calculate the following:

a. Expected market portfolio return, E(RM)
b. Market excess return
c. The Sharpe ratio

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  1. katetutor
    Tutorial # 00417722 Posted By: katetutor Posted on: 11/12/2016 12:01 AM
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