Solved

Stocks a and B Have Alphas of

Question 18

Multiple Choice

Stocks A and B have alphas of .01 and betas of .90.Stock A has a residual variance of .020 while stock B has a residual variance of .016.If stock A represents 2% of an active portfolio,stock B should represent __________ of an active portfolio.


A) 1.6%
B) 2.0%
C) 2.2%
D) 2.5%

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q13: The portfolio that contains the benchmark asset

Q14: Perfect timing ability is equivalent to having

Q15: Portfolio managers Paul Martin and Kevin Krueger

Q16: A passive benchmark portfolio is _.<br>I.a portfolio

Q17: Consider the theory of active portfolio management.Stocks

Q19: The M<sup>2</sup> measure is a variant of

Q20: The correct measure of timing ability is

Q21: The average returns, standard deviations and betas

Q22: Suppose that over the same time period

Q23: A portfolio generates an annual return of