What is the sharpe ratio of the tangency portfolio

Reference no: EM132178233

Question - You put 70% of your money in a stock portfolio that has an expected return of 14.95% and a standard deviation of 44%. You put the rest of you money in a risky bond portfolio that has an expected return of 4.95% and a standard deviation of 18%. The stock and bond portfolio have a correlation 0.32.

What is the Sharpe ratio of the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio? Enter your answer rounded to two decimal places.

Reference no: EM132178233

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