The measures of portfolio performance that involve beta, the ex-post alpha, and reward-to-volatility measures have been criticized because the rely heavily on the
A) CAPM
B) arbitrage pricing theory
C) risk free rate
D) market beta

Question

Quizplus · Accepted Answer

The measures of portfolio performance that involve beta, the ex-post alpha, and reward-to-volatility measures are all based on the Capital Asset Pricing Model (CAPM). While the CAPM is a widely used model for determining expected returns, it has also been criticized for its reliance on assumptions that may not hold in the real world. Therefore, measures of portfolio performance that rely heavily on the CAPM may not accurately reflect the true performance of a portfolio.

The Measures of Portfolio Performance That Involve Beta, the Ex-Post