Consider a Portfolio with an Initial Expected Return, Beta, and Standard

question 16

Multiple Choice

Consider a portfolio with an initial expected return, beta, and standard deviation. Improvement in which of the performance measures will improve value-at-risk to the extent that the potential loss will decrease?
I. Treynor ratio
II. Sharpe ratio
III. Jensen's alpha

• A) II only
• B) I and III only
• C) I and II only
• D) III only
• E) I, II, and III

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Definitions:

Substance Abuse

The unsafe or adverse use of psychoactive substances, covering both alcohol and illicit drugs.

Personality Disorder

A mental disorder defined by persistent unhealthy patterns of thought, behavior, and internal experience.

Anorexia Nervosa

An eating disorder characterized by a distorted body image and an unreasonable fear of gaining weight, leading to excessive weight loss.

Amenorrhea

The absence of menstrual cycles.