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
A)Sharpe ratio.
B)information ratio.
C)alpha.
D)Treynor measure.
E)None of the options

Question

Quizplus · Accepted Answer

When optimized, a property of the overall risky portfolio is that its squared Sharpe measure increases by the square of the active portfolio's information ratio.

One Property of a Risky Portfolio That Combines an Active