One Property of a Risky Portfolio That Combines an Active

question 14

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)information ratio.
• C)alpha.
• D)Treynor measure.
• E)none of the above.

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Definitions:

Direct Forecast

predicts future trends or behaviors directly from past and present data without the use of intervening variables.

Indirect Forecast

A forecasting method that uses related indicators or market conditions, rather than direct measures, to predict future trends or demands.

Buyers' Intentions Forecast

The process of predicting future purchasing actions of consumers based on various indicators and market trends.

Sales Forecast

A projection of future sales revenue, often based on historical data, market analysis, and expected market trends.