Solve questions below. Do Not Use Excel. A portfolio P is invested in two assets...
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Solve questions below. Do Not Use Excel. A portfolio P is invested in two assets A and B, with the remainder being invested in the market M. The diversifiable components of A and B are uncorrelated with each other. Over the last year, you have the following statistics, where T denotes T-bills in which the portfolio was not invested:
- compute the Jensen measure for each asset and for the portfolio as a whole
- Calculate the idiosyncratic standard deviation for both A and B.
- Calculate the portfolios beta, total standard deviation and idiosyncratic standard deviation.
- Calculate the Sharpe ratio of the portfolio and of the market.
T 4.4% Return Beta Standard Deviation Portfolio weight A 8.8% 0.90 22.0% 14.0% B 9.6% 1.10 25.4% 7.5% M 9.0% 1.00 20.0% 78.5%
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