In the Treynor-Black Model

question 38

Multiple Choice

In the Treynor-Black model

• A)portfolio weights are sensitive to large alpha values which can lead to infeasible long or short positions for many portfolio managers.
• B)portfolio weights are not sensitive to large alpha values which can lead to infeasible long or short positions for many portfolio managers.
• C)portfolio weights are sensitive to large alpha values which can lead to the optimal portfolio for most portfolio managers.
• D)portfolio weights are not sensitive to large alpha values which can lead to the optimal portfolio for most portfolio managers.
• E)none of the above.

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