Consider the Treynor-Black Model

question 45

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)98.3%
• C)51.3%
• D)100.0%
• E)none of the above

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Definitions:

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A screening procedure for cervical cancer involving the collection of cells from a woman's cervix to check for abnormalities.

Squamous Carcinoma

A type of cancer that forms in squamous cells, which are flat cells lining various parts of the body, such as the skin, mouth, and lungs.

5-year Survival Rate

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