Assuming active returns are normally distributed, calculate the expected returns about the benchmark at the 67%, 95%,

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Assuming active returns are normally distributed, calculate the expected returns about the benchmark at the 67%, 95%, and 99% confidence levels assuming the following data:

Expected active return % Tracking error % Benchmark expected return % 0.08 0.02 0.03

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The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

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Question Posted: Dec 19, 2023 01:35 AM

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Assuming active returns are normally distributed, calculate the expected returns about the benchmark at the 67%, 95%,

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Expected active return % Tracking error % Benchmark expected return % 0.08 0.02 0.03

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The formula to calculate the expected returns about the benchmark at a ...View the full answer

The Theory And Practice Of Investment Management

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