Kane, Marcus, and Trippi (1999) Show That the Annualized Fee

question 13

Multiple Choice

Kane, Marcus, and Trippi (1999) show that the annualized fee that investors should be willing to pay for active management, over and above the fee charged by a passive index fund, depends on I) the investor's coefficient of risk aversion.
II. the value of the at-the-money call option on the market portfolio.
III. the value of the out-of-the-money call option on the market portfolio.
IV. the precision of the security analyst.
V. the distribution of the squared information ratio in the universe of securities.

• A)I, II, and IV
• B)I, III, and V
• C)II, IV, and V
• D)I, IV, and V

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Definitions:

Rainer of Huy

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