[单选题]

·Mean annual return          4%
  ·Mean excess return          8.6%
  ·Standard deviation of annual returns   23.4%
  ·Portfolio beta            6
  The coefficient of variation and Sharpe measure, respectively, for the portfolio are closest to:
Coefficient of variation  Sharpe measure

A.0.82        0.37

B.1.32        1.23

C.1.32        0.37

参考答案与解析:

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