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Consider a portfolio with expected return of 15% and variance of 10%. The T-bills return...

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Accounting

Consider a portfolio with expected return of 15% and variance of 10%. The T-bills return 3%? Would you add a new asset class to the portfolio if the class has a predicted Sharpe ratio of 0.30 and a predicted correlation with existing portfolio of 0.7?

Select one:

a. Yes, because Snew is larger than 0.27

b. Yes, because Snew is larger than 0.15

c. No, because Snew is smaller than 0.38

d. No, because Snew is smaller than 0.45

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