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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Equity Valuation And Portfolio Management

ISBN: 9780470929919

1st Edition

Authors: Frank J. Fabozzi, Harry M. Markowitz

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