Question: After extensive analysis, Alpha Fund has identified three assets, P, Q and R which it believes will exhibit ongoing alpha. It has determined the following
After extensive analysis, Alpha Fund has identified three assets, P, Q and R which it believes will exhibit ongoing alpha. It has determined the following reward-to-risk ratios for each of the assets: Using the Treynor Black model, how would Alpha Fund weight its active portfolio? a. 100% in P b. It cannot be determined from the information provided. c. 45% in P;18% in Q;37% in R d. 50% in P;10% in Q;40% in R e. 25% in P;45% in Q;30% in R
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