Consider the Treynor-Black Model

question 10

Multiple Choice

Consider the Treynor-Black model.The alpha of an active portfolio is 1%.The expected return on the market index is 11%.The variance of return on the market portfolio is 6%.The nonsystematic variance of the active portfolio is 2%.The risk-free rate of return is 4%.The beta of the active portfolio is 1.1.The optimal proportion to invest in the active portfolio is

• A)45%.
• B)25%.
• C)50%.
• D)100%.

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Definitions:

Sexual Intercourse

The physical act of sex between individuals, typically involving penetration and aimed at sexual pleasure or reproduction.

AIDS

Acquired Immunodeficiency Syndrome, a chronic, potentially life-threatening condition caused by the human immunodeficiency virus (HIV) that damages the immune system.

Unprotected Sex

Engaging in sexual activities without the use of contraceptives or barrier methods, increasing the risk of sexually transmitted infections (STIs) and unwanted pregnancies.

HIV

Human Immunodeficiency Virus, a virus that attacks the immune system and can lead to AIDS if not treated.