问题
单项选择题
An investor's portfolio has a mean return of 15 percent and a coefficient of variation of 1.8. If the risk-free rate of return is 5 percent, the portfolio has the sharpe ratio is closet to:（）
A. 0.27.
B. 0.37.
C. 0.56.
答案
参考答案：B
解析：
a/m=1.8, a=1.8×m=1.8×15%=27%, Sharpe ratio=(m-rf)/a=(15%-5%)/27%=0.370.