The beta of an active portfolio is 1.20. The standard deviation of the returns on the market index is 20%. The nonsystematic variance of the active portfolio is 1%. The standard deviation of the returns on the active portfolio
Is
A) 3.84%.
B) 5.84%.
C) 19.60%.
D) 24.17%.
E) 26.0%.
Correct Answer:
Verified
Q10: Benchmark risk
A) is inevitable and is never
Q13: Benchmark risk is defined as
A) the return
Q15: The _ model allows the private views
Q20: Active portfolio management consists of
A) market timing.
B)
Q23: A purely passive strategy is defined as
A)
Q24: Which of the following are not true
Q25: A purely passive strategy
A) uses only index
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Q37: One property of a risky portfolio that
Q39: The Treynor-Black model
A) considers both macroeconomic and
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