Multiple Choice
According to the Treynor-Black model, the weight of a security in the active portfolio depends on the ratio of __________ to __________.
A) the degree of mispricing; the nonsystematic risk of the security
B) the degree of mispricing; the systematic risk of the security
C) the market sensitivity of the security; the nonsystematic risk of the security
D) the nonsystematic risk of the security; the systematic risk of the security
Correct Answer:
Verified
Correct Answer:
Verified
Q3: Consider the Treynor-Black model.The alpha of an
Q8: Active portfolio management consists of<br>A)market timing.<br>B)security analysis.<br>C)indexing.<br>D)market
Q9: Passive portfolio management consists of<br>A)market timing.<br>B)security analysis.<br>C)indexing.<br>D)market
Q11: A manager who uses the mean-variance theory
Q13: Kane, Marcus, and Trippi (1999) show that
Q14: Ideally, clients would like to invest with
Q15: Absent research, you should assume the alpha
Q16: The Treynor-Black model<br>A)considers both macroeconomic and microeconomic
Q28: Tracking error is defined as<br>A) the difference
Q32: Benchmark risk<br>A) is inevitable and is never