Consider the Treynor-Black model.The alpha of an active portfolio is 2%.The expected return on the market index is 16%.The variance of return on the market portfolio is 4%.The nonsystematic variance of the active portfolio is 1%.The risk-free rate of return is 8%.The beta of the active portfolio is 1.The optimal proportion to invest in the active portfolio is _________.
A) 0%
B) 25%
C) 50%
D) 100%
E) none of these
Correct Answer:
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Q2: Consider the Treynor-Black model.The alpha of an
Q5: Variable life insurance
A) combines life insurance with
Q6: The Treynor-Black model assumes that
A) the objective
Q7: Active portfolio managers try to construct a
Q8: Passive portfolio management consists of _.
A) market
Q10: One property of a risky portfolio that
Q11: A purely passive strategy is defined as
A)
Q23: Consider the Treynor-Black model. The alpha of
Q25: A purely passive strategy
A) uses only index
Q34: According to the Treynor-Black model, the weight
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