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:

Greatly Varying Education

Describes a wide range of educational backgrounds among individuals in a group or population.

Health Care Departments

Divisions within organizations dedicated to managing health services, policies, and practices.

Participative Management Style

A leadership approach where employees at all levels are involved in the decision-making processes of the organization.

Educated and Sophisticated Staff

Employees who possess a high level of education and exhibit refined and complex skills.