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

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- Solution f

Solution

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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