Question
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and...
- The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino).
|
portfolio |
return (rp) |
risk free interest rate (rf) |
std. deviation |
Beta |
market risk premium (rp-rf) |
|
A |
18,00 |
11,00 |
6,00 |
1,24 |
7,00 |
|
B |
12,00 |
11,00 |
2,00 |
0,87 |
1,00 |
|
C |
9,00 |
11,00 |
0,50 |
- 0,73 |
- 2,00 |
|
D |
15,00 |
11,00 |
3,00 |
0,46 |
4,00 |
|
Market |
13,00 |
11,00 |
1,50 |
1 |
2,00 |
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