Consider the Treynor-Black Model

question 25

Multiple Choice

Consider the Treynor-Black model. The alpha of an active portfolio is 3%. The expected return on the market index is 18%. The standard deviation of the return on the market portfolio is 25%. The nonsystematic standard deviation of the active portfolio is 15%. The risk-free rate of return is 6%. The beta of the active portfolio is 1.2. The optimal proportion to invest in the active portfolio is

• A) 50.0%.
• B) 69.4%.
• C) 72.3%.
• D) 80.6%.
• E) 100.0%.

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Definitions:

Receptive Field

A concept in neuroscience referring to the area of sensory space (e.g., part of the visual field) that can elicit neuronal responses when stimulated.

Centre-surround

A mechanism of visual processing in which a central object is perceived differently than its surrounding area, often in terms of light or color.

Visual Cell

A type of sensory cell found in the retina that is responsible for converting light into electrical signals for visual perception.

Ventral Stream

A pathway in the brain's visual cortex involved in object recognition and form representation.