Question

In: Finance

What is the Sharpe ratio for the minimum variance portfolio (MVP)?

A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5%. The probability distributions of the risky funds are:


Expected Return

Standard Deviation

Stock fund (S)

15%

32%

Bond fund (B)

9

23

The correlation between the fund returns is 0.10.

What is the Sharpe ratio for the minimum variance portfolio (MVP)?


Solutions

Expert Solution

*Please rate thumbs up

jeff jeffy answered 2 years ago
Next > < Previous

Related Solutions

Explain in detail the process of deriving the minimum variance portfolio MVP, and the process of...
Explain in detail the process of deriving the minimum variance portfolio MVP, and the process of estimating the expected return and risk in the relevant portfolio.
a) Define the following: Capital Allocation to Risky assets Complete Portfolio Sharpe Ratio Mean – Variance...
a) Define the following: Capital Allocation to Risky assets Complete Portfolio Sharpe Ratio Mean – Variance Analysis Passive Strategy b) What features of the money markets securities distinguish them from other fixed-income      securities?
What is Minimum Viable Product MVP
What is Minimum Viable Product MVP
What is the Sharpe approach to measuring portfolio risk? If a portfolio has a higher Sharpe...
What is the Sharpe approach to measuring portfolio risk? If a portfolio has a higher Sharpe measure than the market in general under the Sharpe approach, what is the implication?
Sharpe ratio of portfolio A and B are 0.40 and 0.52 respectively. Therefore, CAL(A) is _________...
Sharpe ratio of portfolio A and B are 0.40 and 0.52 respectively. Therefore, CAL(A) is _________ than CAL(B). Select one: a. Larger b. Steeper c. Smaller d. Flatter
My sharpe Ratio for my portfolio is 1.08. What does this mean? Or how would i...
My sharpe Ratio for my portfolio is 1.08. What does this mean? Or how would i describe my number.
The Sharpe ratio and Jensen’s alpha of portfolio A are 0.10 and 0.004, respectively. The risk-free...
The Sharpe ratio and Jensen’s alpha of portfolio A are 0.10 and 0.004, respectively. The risk-free rate is 3%, the average return on the market portfolio is 7%, the variance of the market portfolio is 0.09, and the correlation coefficient between A and the market portfolio is 0.7. What is the expected return and the variance of A?
What is the global minimum variance portfolio? How does it vary with correlation coefficient?
What is the global minimum variance portfolio? How does it vary with correlation coefficient?
What's the limitation of Sharpe ratio?
What's the limitation of Sharpe ratio?
Table 2 shows regressions of the standard deviation and Sharpe ratio of household portfolio annual returns...
Table 2 shows regressions of the standard deviation and Sharpe ratio of household portfolio annual returns for different brackets of the distribution of net wealth in Sweden between 1999 and 2007 (standard errors are not reported). The reported Sharpe ratio of a household portfolio is equal to the expected return of the portfolio divided by its standard deviation. The Sharpe ratio is used to measure performance in relation to risk taken. For example, when comparing two portfolios, the one with...
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT