5. The Sharp ratio of a portfolio is defined as A. the ratio between the return of the portfolio and the variance of return of the portfolio B. the ratio between the excess return (excess return is the difference between the return and the risk-free return) and the variance of the return of the portfolio C. the ratio between the return and the standard deviation of the return of the portfolio D. the ratio between the excess return and the standard deviation of the return of the portfolio

5. The Sharp ratio of a portfolio is defined as A. the ratio between the return of the portfolio and the variance of return of the portfolio B. the ratio between the excess return (excess return is the difference between the return and the risk-free return) and the variance of the return of the portfolio C. the ratio between the return and the standard deviation of the return of the portfolio D. the ratio between the excess return and the standard deviation of the return of the portfolio

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 21P

See similar textbooks

Similar questions

What are the the key concepts (e.g., the standard deviation of the portfolio is less than the weighted average of the standard deviations of the stocks in the portfolio)
Which of the following measures the total risk of a portfolio? A. Standard Deviation B. Correlation Coefficient C. Beta D. Alpha
What is the standard deviation of the following portfolio if the coefficient of the correlation between the two securities is equl to 0.5? Variance % Proportion of investment in the portfolio security 1 10 0.3 security 2 20 0.7
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino). portfolio return (rp) risk free interest rate (rf) std. deviation Beta market risk premium (rp- rf) A 18,00 11,00 6,00 1,24 7,00 B 12,00 11,00 2,00 0,87 1,00 C 9,00 11,00 0,50 - 0,73 - 2,00 D 15,00 11,00 3,00 0,46 4,00 Market 13,00 11,00 1,50 1 2,00
Which of the following measures reflects the excess return earned on a portfolio per unit of its systematic risk a. Treynor’s measure b. Sharpe’s measure c. Jensen’s measure d. Total measure
7. Which two of the following options correctly give rules for portfolio theory? A) Portfolio returns are a weighted average of the expected returns on the individual investments. B) Portfolio standard deviation is greater than the weighted average risk of the individual investments, except for perfectly negatively correlated investments. C) Portfolio standard deviation is less than the weighted average risk of the individual investments, except for perfectly positively correlated investments. D) Expected returns are a weighted average of the portfolio return on the group of investments.
(a) Calculate the expected rate of return, variance and standard deviation of Stock X & Stock Y. (b) Assume that the covariance between Stock X and Stock Y is -0.5%. Calculate the expected rate of return, variance and standard deviation of Jenny’s portfolio. (c) Explain why, in general, the portfolio risk is lower than the weighted average of individual stocks’ risk.
a) Calculate the expected returns for both portfolios b) Calculate the standard deviation for portfolio A.
What is a risk measure? a Alpha b Required return on the market portfolio c Standard deviation of historical returns
e) Calculate the portfolio return for each alternative.f) Calculate the portfolio standard deviation for each alternative.Note: No need excel formula
e) Calculate the portfolio return for each alternative. f) Calculate the and standard deviation for each alternative
According to CAPM, the expected rate of return of a portfolio with a beta of 1.0 and an alpha of 0 is:a. Between rM and rf .b. The risk-free rate, rf .c. β(rM − rf).d. The expected return on the market, rM.