A RISK MANAGER WOULD LIKE TO CALCULATE THE COEFFICIENT OF VARIATIO...
33. A risk manager would like to calculate the coefficient of variation of a portfolio. The following table reports the annual returns of the portfolio and of the risk-free rate over the most recent five years:
Year Portfolio Return Risk-Free Rate
1 4.0% 2.0%
2 –1.0% 1.5%
3 7.0% 1.0%
4 11.0% 1.0%
5 2.0% 0.5%
The coefficient of variation of the portfolio is closest to:
A. 0.90.
B. 0.74.
C. 1.00.