Assume Portfolio a and Portfolio B Are Well-Diversified; However, Portfolio

Multiple Choice

Assume Portfolio A and Portfolio B are well-diversified; however, Portfolio A has a higher standard deviation than Portfolio B. Based on this information, the Sharpe ratio will give Portfolio A:

A) the higher rank, and the Treynor ratio will give Portfolio B the higher rank.
B) the lower rank, and the Treynor ratio will give Portfolio B the lower rank.
C) the same rank as the rank assigned by the Treynor ratio.
D) a rank that varies directly based on the overall market risk.