A Portfolio Has a Beta of 1

question 3

Multiple Choice

A portfolio has a beta of 1.23 and a standard deviation of 11.6 percent.What is the Sharpe ratio if the market return is 12.4 percent and the market risk premium is 7.9 percent?

• A).07
• B).11
• C).65
• D).84
• E).90

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Definitions:

Observations

Data collected during an experiment or survey; each observation represents an individual unit of measured data.

Confidence Levels

The probability or percentage that specifies how confident one can be in the method used to construct a confidence interval estimate of a population parameter.

Confidence Intervals

Ranges of values, based on sample data, that are used to estimate the likelihood of containing the population parameter of interest within a specified level of certainty.

Standard Error

A statistical measure that indicates the accuracy with which a sample distribution represents a population by using its standard deviation and sample size.