此题中的无风险收益率是如何得到的呢

NO.PZ2017092702000055

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

The Sharpe ratio measures a portfolio’s return per unit of risk and is defined as $S_1=\frac{{\overline R}_p-{\overline R}_F}{s_p}$  , where ${\overline R}_p$ is the mean return for the portfolio, ${\overline R}_F$ is the mean return to a risk-free asset, and s_p is the standard deviation of return on the portfolio. The Sharpe ratios for the three portfolios are as follows: Portfolio 1 = (7.8 – 1.5)/15.1 = 6.3/15.1 = 0.417 Portfolio 2 = (10.2 – 1.5)/20.5 = 8.7/20.5 = 0.424 Portfolio 3 = (12.9 – 1.5)/29.3 = 11.4/29.3 = 0.389 So Portfolio 2 has the highest return per unit of risk.