Question: Suppose that we want to implement the Treynor-Black model. Given the following information; calculate the Sharpe ratio of the optimal risky portfolio, consisting of an

Suppose that we want to implement the Treynor-Black model. Given the following information; calculate the Sharpe ratio of the optimal risky portfolio, consisting of an active portfolio and the market portfolio. The expected return of the market portfolio is 16%, and its standard deviation is 23%. The alpha of the active portfolio is 16.90%, and its residual standard deviation is 147.68%. The T-bill rate is 8%

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

You have the chance to invest your money in either a 7.5% bond that sells at face value or an aggressive growth stock that pays only 1% dividend. If inflation occurs, the interest rate will go up to...

Suppose that we want to implement the Treynor-Black model. Given the following information, calculate the Sharpe ratio of the optimal risky portfolio, consisting of an active portfolio and the market...

Suppose you manage an equity fund with the following securities . Use the following data to help build an optimal risky portfolio deploying the Treynor - Black Model. \ table [ [ Input Data, \ table...

3. (CAPM) The Triple Happiness Mutual Fund's investment portfolio previously included only riskfree assets [say, U.S. T-bills], and a welldiversified (market) portfolio [say. 3&P500], but has no...

need help with fina 6301 final exam. need to finish soon please help. Question 1 1. Both New York Stock Exchange and NASDAQ are examples of primary markets. Answer True False 1 points Question 2 1....

can you answer the queston asap i need it asap please 1. QUESTION 1 Both New York Stock Exchange and NASDAQ are examples of primary markets. True False 1 points 1. QUESTION 2 Free cash flow...

1 Both New York Stock Exchange and NASDAQ are examples of primary markets. True False 1 points QUESTION 2 Free cash flow hypothesis states that an increase in dividend should benefit the shareholders...

Anyone got complete answers to this quiz? 1. 5a_39 In technical analysis, what is a support level for a stock? A. Demand exceeds supply. B. Supply exceeds demand. C. Volume sold equals volume...

A psychologist is interested in studying women who are in the process of obtaining a divorce to determine whether the women experienced significant attitudinal changes after the divorce has been...

If G = (V, E) is a loop-free connected undirected graph and a, b V, then we define the distance from a to b (or from b to a), denoted d(a, b), as the length of a shortest path (in G) connecting a and...

7 In pairs or in a small group, discuss. Sofia, Zara and Arun discuss what to write for this problem. I think of a number, n. I divide by 3, then multiply by 2. What do you think? Make a conjecture...

please help finish answering E & F. The Toyota Camry is one of the best-selling cars in North America. The cost of a previously owned Camry depends on many factors, including the model year, mileage,...