joyyy回答（1）
Michael2023-05-29 12:03:34
Michael学员你好，
Peter´s portfolio´s excess return was +7.0%(his gross return was + 9.0%)with a volatility of 36.0% per annum and beta,β(P,M)=0.750.
所以夏普比率是7%/36%，特雷诺比率是7%/0.750
Betty´s portfolio´s excess return was +11.0%(her gross return was + 13.0%)with a volatility of 44.0% per annum and beta,β(B,M)=1.50.
所以夏普比率是11%/44%，特雷诺比率是11%/1.50
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