单选题
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:
【正确答案】
B
【答案解析】
The Sharpe ratio for a portfolio p, based on historical returns, is defined as
Where
is the mean retum to the portfolio