A Managed Portfolio Has a Standard Deviation Equal to 22

question 78

Multiple Choice

A managed portfolio has a standard deviation equal to 22% and a beta of 0.9 when the market portfolio's standard deviation is 26%.The adjusted portfolio P* needed to calculate the M² measure will have ________ invested in the managed portfolio and the rest in T-bills.

• A) 84.6%
• B) 118%
• C) 18%
• D) 15.4%

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Definitions:

Uncertain Event

An event with an outcome that cannot be predicted with precision due to lack of definite knowledge or its reliance on chance.

Negotiable Instruments

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