题目
Assume the risk-free rate is 3.0% and the price of risk (excess market return) is 5.0%. A manager's portfolio produces a return of 9.0% with 30% volatility and a CAPM beta of 0.8. What is the Sharpe ratio?
选项
A.0.0
B.0.2
C.0.4
D.0.6
答案
B
解析
(9% - 3%)/30% = 0.2夏普比率为：(9% - 3%)/30% = 0.2