Question
In: Finance
8. Peter Griffin calculates that his portfolio's risk, as measured by the standard deviation, is 19.67%....
8. Peter Griffin calculates that his portfolio's risk, as measured by the standard deviation, is 19.67%. His portfolio is made up of many stocks from just two companies, South Park Company and Quahog Company. South Park Co.'s returns have a standard deviation of 12.9% and Quahog Co.'s returns have a standard deviation of 28.84%. If the weight of Quahog Co. in his portfolio is 48.21%, what is the correlation between the returns of Quahog and South Park.
9.
A portfolio has an excess return of 15.9 % and a standard deviation of 15.23 %. What is the Sharpe Ratio for this portfolio?
Solutions
Expert Solution
question 8
where w = weight of stock
σ = standard deiviation of individual stock
(19.67)2=(0.5179)2*(12.9)2+(0.4821)2*(28.84)2+2*0.5179*0.4821*X*12.9*28.84
386.91=44.63+193.31+185.78*X
X= 148.97/185.78
CORRELATOIN =0.80186
question 9
sharpe ratio = excess return/ standard deviation
=15.9/15.23
=1.0440
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jeff jeffy answered 2 years agoRelated Solutions
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