Consider the Treynor-Black Model

Multiple Choice

Consider the Treynor-Black model.The alpha of an active portfolio is 3%.The expected return on the market index is 10%.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) 98.4%.
C) 51.3%.
D) 100.0%.