You are given the following investment parameters: E(rS) = ...
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You are given the following investment parameters:
| E(rS) = | 12% | VarB = | 529 | |
| E(rB) = | 6% | VarS = | 1024 | |
| S = | 32% | CovBS = | 88.32 | |
| B = | 23% | |||
| = | 0.12 | |||
| rf = | 3.5% |
Calculate the mean return of the minimum variance, its standard deviation and Sharp ratio. Please give answers to 2 decimal places.
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