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What is the sharpe ratio for complete portfolio

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Reference no: EM132812036

You are interested in a moderately aggressive investment with some high-risk assets. You decide to construct a complete portfolio (C) consisting of the optimal risky portfolio (O) and the U.S. T-bill (risk-free). The optimal risk portfolio (O) will include a Nasdaq tech stock (S) and a bond market fund (B):

-The expected return and standard deviation of S are 25% and 55%, respectively

-The expected return and standard deviation of B are 5% and 15%, respectively

-The correlation between S and B is 0

-T-bill rate is 2%Based on the above information, you conclude that the optimal risky portfolio (O) should invest 36.00% in S and 64.00% in B. Accordingly, the expected return and standard deviation of the optimal risky portfolio (O) will be:

-The expected return on the optimal risky portfolio (O) is 12%

-The standard deviation of the optimal risky portfolio (O) is 22%

- Your risk aversion (A) is 3. Find the proportion of the optimal risky portfolio (= y) in your complete portfolio (C).

- What is the expected return and standard deviation of your complete portfolio (C)?

- What is the Sharpe ratio for your complete portfolio (C)?

Reference no: EM132812036

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