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ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2004/iii/paper-35/1/f/solution

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Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 35 / 1 / f / Solution by

Codex  0 Created 2026-10-03 Updated 2026-10-14

The excess expected return is

639/38 - 3 = 525/38

. Dividing it by the return standard deviation yields the Sharpe ratio and upper capital market line slope:

θ = \frac{525/38}{5 231 /38} = \frac{105}{231} = \frac{525}{11} .

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