单项选择题
对于一个由10支股票组成的投资组合,通过对个体股票的基础分析估计,我们可以得到组合的期望收益率是14%,标淮差为25%,β值为1.1。市场组合的期望收益率为12.5%,标准差为20.2%。无风险收益率为2.6%。该投资组合的Treynor度量值、Sharpe度量值、Jensen’salpha( )。
A.0.1136,0.496,0.0041
B.0.1036,0.456,0.0051
C.0.1036,0.496,0.0041
D.0.1036,0.456,0.0035
E.0.1321,0.496,0.0021
A.1。市场组合的期望收益率为12.5%,标准差为20.2%。无风险收益率为2.6%。该投资组合的Treynor度量值、Sharpe度量值、Jensen’salpha(
B.0.1136,0.496,0.0041
B.0.1036,0.456,0.0051
C.0.1036,0.496,0.0041
D.0.1036,0.456,0.0035
E.0.1321,0.496,0.0021