The theoretical information ratio of a portfolio P is defined as where RP is the portfolio return,
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The theoretical information ratio of a portfolio P is defined as
where RP is the portfolio return, and RMP is the return on the market portfolio. Show that this ratio can never be larger than the theoretical Sharpe-ratio of the market portfolio, if the CAPM holds.
PortfolioA portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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According to the Capital Asset Pricing Model CAP M the expected return of a portfolio P can be ...View the full answer
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