2. Assuming active returns are normally distributed, calculate the expected returns about the benchmark at various at
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2. Assuming active returns are normally distributed, calculate the expected returns about the benchmark at various at the 67%, 95%, and 99%
confidence levels assuming the following data:
Expected active return (%) 2%
Tracking error (%) 3%
Benchmark expected return 8%
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Related Book For
Equity Valuation And Portfolio Management
ISBN: 9780470929919
1st Edition
Authors: Frank J. Fabozzi, Harry M. Markowitz
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