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Unformatted text preview: t B is .05. If the covariance of returns on A and B is .0030, the
correlation coefficient between the returns on A and B is _________. 5. The expected return of portfolio is 8.9% and the risk free rate is 3.5%. If the portfolio
standard deviation is 12.0%, the reward to variability ratio (Sharpe ratio) of the portfolio
Reward to variability ratio = (.089 - .035)/.12 = 0.45 Lecture 6 1. Adding additional risky assets (i.e. assets with positive standard deviation) to the set of
possible investments will generally move the efficient frontier _____ and to the ______
on the usual graph of expected return (y axis) and standard deviation (x a...
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This document was uploaded on 02/18/2014.
- Spring '13