Consider the Treynor-Black Model

question 30

Multiple Choice

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%.

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Definitions:

Female Employees

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Americans with Disabilities Act

The Americans with Disabilities Act (ADA) is a civil rights law that prohibits discrimination against individuals with disabilities in all areas of public life, including jobs, schools, transportation, and all public and private places that are open to the general public.

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Nearsighted

A common vision condition where close objects are seen clearly, but distant objects appear blurred, also known as myopia.