One Property of a Risky Portfolio That Combines an Active

question 4

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) appraisal ratio.
• C) alpha.
• D) Treynor measure.
• E) none of these.