Business, 09.11.2019 05:31 pramirez5169
The optima mutual fund has an expected return of 20%, and a volatility of 20%. optima claims that no other portfolio offers a higher sharpe ratio. suppose this claim is true, and the risk-free interest rate is 5%.
a. what is optima’s sharpe ratio?
b. if ebay’s stock has a volatility of 40% and an expected return of 11%, what must be its correlation with the optima fund?
c. if the suboptima fund has a correlation of 80% with the optima fund, what is the sharpe ratio of the suboptima fund?
Answers: 2
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The optima mutual fund has an expected return of 20%, and a volatility of 20%. optima claims that no...
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