Question：

Based on historical returns, a portfolio has a Sharpe ratio of 2.0. If the mean return to the portfolio is 20%, and the mean return to a risk-free asset is 4%, the standard deviation of return on the portfolio is closest to:

A. 12%.

B. 8%.

C. 10%.

Answer = B

CFA Level I

"Statistical ConcepPinto, and David ESection 7.

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