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One Property of a Risky Portfolio That Combines an Active

Question 42

Multiple Choice

One property of a risky portfolio that combines an active portfolio of mispriced securities with a market portfolio is that, when optimized, its squared Sharpe measure increases by the square of the active portfolio's


A) Sharpe ratio.
B) information ratio.
C) alpha.
D) Treynor measure.
E) None of the options are correct.

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