Question 8A) Expected return risky = Risk free rate + (sharp ratio * Standard deviation) Rp = Rf + (S*op) DATA SET: Original Variance 0.007078471 Standard Deviation 8.41% Expected Monthly Return of Portfolio 1.65% Sharp ratio 44.692756766773400000% Risk free 0.0025 Weights 10% in all 10 stocks 0.0165 = 0.0025 + (0.446927567667734* $\sigma_p$) $\sigma_p$= 0.03132449 or 3.132449% This is the lowest standard deviation we can attain for a portfolio with the same expected return as our original portfolio.
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65% Risk-free rate (Rf) = 0.25% Sharpe ratio (S) = 44.692756766773400000% New standard deviation (σp) = ? Using the formula: Show more…
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