单选题 An investor's portfolio has a mean return of 15 percent and a coefficient of variation of 1.8. If the risk-free rate of return is 5 percent, the portfolio has the sharpe ratio is closet to:
【正确答案】 B
【答案解析】
a/m=1.8, a=1.8×m=1.8×15%=27%, Sharpe ratio=(m-rf)/a=(15%-5%)/27%=0.370.