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Gera has nsk aversion of A3 and a 1year investment horizon. She is pondering fwo...

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Gera has nsk aversion of A3 and a 1year investment horizon. She is pondering fwo portfolios, the 58P500 and a hedge fund, as Wes as a number of 3 year strategies. (Nit rates afe annual and continuourly compounded) The 58 P 500 risk premium is estimated at 10\% per year, with a tandard devation of 24%. The bedge fund tisk premiam is estimaled at 12% with a $9andard deviation of 39%. The returns on both of these portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorrelated whth the returns of the othes pontolo in other years The hedge fund clains the correlation coefficient between the anmal reburn on the S8P 500 and the hedpe fund retum in the same year is zero but Greta is not fully corwinced by this claim Compute the estimated annual usk prenvums, standard devlatoris, and Sharpe fatos for the fwo portolios. Note: Do not round your Intermediate colculations. Round "Sharpe ratios" to 4 decimal plsces and other anuwers to 2 decimol places

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