A Sharpe-optimal portfolio provides which one of the following for a given set of securities?
A)Jensen's Alpha
B)highest possible level of risk
C)highest level of return for a market-equivalent level of risk
D)highest excess return per unit of systematic risk
E)highest risk premium per unit of total risk

Question

Quizplus · Accepted Answer

A Sharpe-optimal portfolio maximizes the Sharpe ratio, which is the highest risk premium (excess return) per unit of total risk (standard deviation).

A Sharpe-Optimal Portfolio Provides Which One of the Following for a Given