Consider the Treynor-Black Model

question 47

Multiple Choice

Consider the Treynor-Black model. The alpha of an active portfolio is 2%. The expected return on the market index is 12%. 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) 47.6%.
• D) 100.0%.

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Definitions:

Stakeholders

Individuals or groups that have an interest, investment, or stake in a project, business, or decision, potentially impacting or being impacted by the outcome.

Company's Success

The achievement of specific business objectives and goals, often reflected in financial performance, market share, and stakeholder value.

Shareholders

Individuals or entities that own shares in a corporation, giving them partial ownership and certain rights within the company.

Stakeholder

An individual, group, or organization that has interest or concern in an organization and can affect or be affected by the organization's actions, objectives, and policies.