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 the above
Correct Answer:
Verified
Q9: _ can be used to measure forecast
Q16: Absent research,you should assume the alpha of
Q17: Benchmark risk
A)is inevitable and is never a
Q18: The Black-Litterman model is geared toward _
Q19: Passive portfolio management consists of _.
A)market timing
B)security
Q22: Consider these two investment strategies:
Q22: A manager who uses the mean-variance theory
Q24: One property of a risky portfolio that
Q25: A purely passive strategy is defined as
A)one
Q26: The Treynor-Black model does not assume that
A)the
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents