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"quantity"exercise:Fine peak distribution
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Questions 1:
Based on historical returns, a portfolio has a Sharpe ratio of 2.0. If the mean return to the portfolio is 20%, and the mean return to a risk-free asset is 4%, the standard deviation of return on the portfolio is closest to:
A、 12%.
B、 8%.
C、 10%.
Questions 2:
Which of the following most accurately describes a distribution that is more peaked than normal?
A、 Leptokurtic
B 、Mesokurtic
C 、Platykurtic
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. The Sharpe ratio for a portfolio p, based on historical returns, is defined as
A is incorrect. It adds the risk-free rate rather than subtracting it: (20% + 4%)/2 = 12%.
C is incorrect. It fails to subtract the risk-free rate: (20%)/2 = 10%.
【Answer to question 2】A
【analysis】
A is correct. A distribution that is more peaked than normal is called leptokurtic.
B is incorrect. A distribution that is neither more peaked nor less peaked than normal is called mesokurtic.
C is incorrect. A distribution that is less peaked than normal is called platykurtic.
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