The Treynor-Black Model Assumes That

question 12

Multiple Choice

The Treynor-Black model assumes that

• A)the objective of security analysis is to form an active portfolio of a limited number of mispriced securities.
• B)the cost of less than full diversification comes from the nonsystematic risk of the mispriced stock.
• C)the optimal weight of a mispriced security in the active portfolio is a function of the degree of mispricing, the market sensitivity of the security, and its degree of nonsystematic risk.
• D)All of the options
• E)None of the options

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