One Property of a Risky Portfolio That Combines an Active

question 42

Multiple Choice

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 are correct.

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