Suppose you are given the following information about 2 stocks, what weight would you invest in stock A (with the rest going into stock B) to maximize the Sharpe Ratio? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 rf=3% Enter weight in decimal form, rounded to 4th digit, as in "0.1234"

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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Suppose you are given the following information about 2 stocks, what weight would you invest in stock A (with the rest going into stock B) to maximize the Sharpe Ratio?

  • E(RA)=16%
  • E(RB)=8%
  • σA=22%
  • σB=12%
  • σA,B=−0.003696
  • rf=3%

Enter weight in decimal form, rounded to 4th digit, as in "0.1234" 

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