ou manage an equity fund with an expected risk premium of 10.4% and a standard deviation of 18%. The rate on Treasury bills is 5%. Your client chooses to invest $45,000 of her portfolio in your equity fund and $55,000 in a T-bill money market fund. What is the reward-to-volatility ratio for the equity fund? (Round your answer to 4 decimal places.)
Reward-to-volatility ratio
Reward-to-volatility ratio = Portfolio risk premium / Standard deviation of portfolio excess return
Reward-to-volatility ratio = 10.4% / 18%
Reward-to-volatility ratio = 0.5778
ou manage an equity fund with an expected risk premium of 10.4% and a standard deviation...
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Course:Porfolio fund and management Question You manage an equity fund with an expected risk premium of 10% and a standard deviation of 14%. The rate on Treasury bills is 6%. Your client chooses to invest $60,000 of her portfolio in your equity fund and $40,000 in a T-bill money market fund What is the expected return and standard deviation of return on your client's portfolio?
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