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15. Which of the following statements is True? When creating a complete portfolio by a risky portfolio and a risk-free asset, a higher allocation to the risky portfolio increases the Sharpe ratio. The lower the risk-free rate, the lower the Sharpe ratios of levered portfolios. With a positive and fixed risk-free rate, doubling the expected return and standard deviation of the risky portfolio will double the Sharpe ratio. Holding constant the risk premium of the risky portfolio, a higher risk-free rate will increase the Sharpe ratio of investments with a positive allocation to the risky asset. None of the above statements is true a. b. c. d. e.
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Answer #1

a) true

higher allocation to risky portfolio will increase the sharpe ratio

b) false

c) true

Anything in excess of risk free will increase the sharpe ratio

d) false

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