Suppose you are given the following information about 2 stocks, what weight would you invest in stock A (with the rest going into stock B) to maximize the Sharpe Ratio? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 rf=3% Enter weight in decimal form, rounded to 4th digit, as in "0.1234"

Suppose you are given the following information about 2 stocks, what weight would you invest in stock A (with the rest going into stock B) to maximize the Sharpe Ratio? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 rf=3% Enter weight in decimal form, rounded to 4th digit, as in "0.1234"

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter2: The Domestic And International Financial Marketplace

Section: Chapter Questions

Problem 1P

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Question

Suppose you are given the following information about 2 stocks, what weight would you invest in stock A (with the rest going into stock B) to maximize the Sharpe Ratio?

E(RA)=16%
E(RB)=8%
σA=22%
σB=12%
σA,B=−0.003696
rf=3%

Enter weight in decimal form, rounded to 4th digit, as in "0.1234"

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