20. Suppose that the alpha forecasts in row 44 of Spreadsheet 8.1 are doubled. All the other...

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20. Suppose that the alpha forecasts in row 44 of Spreadsheet 8.1 are doubled. All the other data remain the same. Recalculate the optimal risky portfolio. Before you do any calculations, however, use the Summary of Optimization Procedure to estimate a back-of-the-envelope calculation of the information ratio and Sharpe ratio of the newly optimized portfolio. Then recalculate the entire spreadsheet example and verify your back-of-the-envelope calculation.

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Investments

ISBN: 9780077261450

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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