投资学课后习题答案Chap024.pdfVIP

CHAPTER 24: PORTFOLIO PERFORMANCE EVALUATION CHAPTER 24: PORTFOLIO PERFORMANCE EVALUATION PROBLEM SETS 1. As established i the followi g result from the text, the Sharpe ratio depe ds o both alpha for the portfolio ( ) a d the correlatio betwee the portfolio a d the market P i dex (ρ): E (rP  rf ) P   SM   P P