Consider the Treynor-Black Model

question 49

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%
• E)none of the above

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The practice in which businesses hire people in another country to perform various tasks.

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The phenomenon of growing economic linkages among countries.

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An international organization established to supervise and liberalize world trade, dealing with the rules of trade between nations.