One property of a risky portfolio that combines an active portfolio of mispriced securities with a market portfolio is that,when optimized,its squared Sharpe measure increases by the square of the active portfolio's

Question

Quizplus · Accepted Answer

The squared Sharpe measure of a combined portfolio increases by the square of the active portfolio's appraisal ratio, which measures the active portfolio's performance relative to its risk.

One Property of a Risky Portfolio That Combines an Active