Consider the Treynor-Black Model

question 15

Multiple Choice

Consider the Treynor-Black model.The alpha of an active portfolio is 3%.The expected return on the market index is 10%.The variance of the return on the market portfolio is 4%.The nonsystematic variance of the active portfolio is 2%.The risk-free rate of return is 3%.The beta of the active portfolio is 1.15.The optimal proportion to invest in the active portfolio is

• A)48.7%.
• B)98.4%.
• C)51.3%.
• D)100.0%.

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Definitions:

Cognitive Development

The development of thinking, problem solving, and memory.

Longitudinal Design

A research strategy that involves following the same group of individuals over an extended period to observe changes or developments.

Cross-Sectional Design

A research method used to examine a population at a single point in time, allowing for the comparison of different population groups at the same time.

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A genetic disorder caused by the presence of all or part of a third copy of chromosome 21, leading to developmental and intellectual delays.