Based on current dividend yields and expected capital gains

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Reference no: EM132037968

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12.0% and 14.2%, respectively. The beta of A is .7, while that of B is 1.2. The T-bill rate is currently 7%, while the expected rate of return of the S&P 500 index is 14%. The standard deviation of portfolio A is 12% annually, while that of B is 33%, and that of the index is 22%. a. If you currently hold a market index portfolio, what would be the alpha for Portfolios A and B? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 1 decimal place.) Alpha Portfolio A n/r incorrect % Portfolio B n/r incorrect % b-1. If instead you could invest only in bills and one of these portfolios, calculate the sharpe measure for Portfolios A and B. (Round your answers to 2 decimal places.) Sharpe Measure Portfolio A n/r incorrect Portfolio B n/r incorrect b-2. Which portfolio would you choose? n/r incorrect.

Reference no: EM132037968

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