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Business, 07.08.2021 01:00 alizeleach0123

Suppose that the optimal risky portfolio P hos 15% expected return and 20% standard deviation. The risk-free rate is 5%, but non-government investors can only borrow at 7%. If you have a margin account with your broker and you want to buy on margin to put your portfolio weight in risky asset to be 140%, what is the Sharpe ratio of your overall portfolio? A. 0.35
B. 0.40
C. 0.50
D. 0.56
E. 0.75

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Suppose that the optimal risky portfolio P hos 15% expected return and 20% standard deviation. The r...
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