求助 finance 問題只有一題

pomy333529

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收藏 2014-03-09

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Compare the Sharpe Ratio for one of your portfolios with an expected return above the minimum variance portfolio. What can you say about the dierence between the portfolio Sharpe Ratio and the Sharp Ratio on the individual stocks? Explain why they
are different.

	ACT	GAS	VZ	PPL	ZION	ADSK	FFIV
mon mean	0.0342	0.0143	0.0142	0.0066	0.0277	0.0246	0.0368
annual mean	0.4103	0.1721	0.1706	0.0795	0.3318	0.2957	0.4417
monthly sd	0.0571	0.0412	0.0488	0.0450	0.1308	0.1022	0.1311
annual sd	0.1980	0.1429	0.1691	0.1560	0.4532	0.3539	0.4541
Sharp ratio	2.0729	1.2046	1.0088	0.5096	0.7322	0.8354	0.9727

					Rf	1.00%
					Rm	6%

I already get all sharp ratio of stocks, please help me with the short answer part.
Thanks alot.

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The Sharpe Ratiio is defined as (R-Rf)/STD(R), where R denotes the return for an individual stock, Rf means the risk free rate and STD(R) is the standard deviation for the return of an individual stock. The porfolio version Sharpe Ratiio can be defined in a similar way. To calculate the return and the standard deviation of the return for the porfolio, you need to specify the weighting for each i ...

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海底浮云

2014-3-9 07:02:18

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海底浮云

2014-3-9 10:03:17

The portfolio Sharpe Ratio should be higher than the the Sharp Ratio on an individual stock because of the diversification effect.

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pomy333529

2014-3-10 09:42:46

Thanks for the answer.
I have another question here, I know how to calculate for individual Sharpe Ratio, how to calculate the portfolio Sharpe Ratio?

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