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:

Corporation by Estoppel

A principle where a company is treated as if it is incorporated for purposes of a particular transaction, even though it technically may not be, to prevent injustice or unfairness.

Corporation Names

Legal names under which corporations are registered to conduct business, required to be unique within the same jurisdiction.

Big Box

A big box refers to a large retail establishment, usually part of a chain, that offers a wide variety of merchandise in a single location, typically with a warehouse or department store design.

Nonprofit Corporation

An organization whose primary objective is to support an issue or matter of private interest or public concern for non-commercial purposes, without intending to generate profit for owners.