(a) Using these data, compute the Sharpe ratio of the benchmark and the portfolio. Compute the ex-post...

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(a) Using these data, compute the Sharpe ratio of the benchmark and the portfolio. Compute the ex-post αB of the portfolio and its corresponding t-statistic.

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Quantitative Equity Portfolio Management

ISBN: 9780071459396

1st Edition

Authors: Ludwig B Chincarini, Daehwan Kim

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