16. An investor invest 60% of her wealth in a risky asset with an expected retum of 15% and variance of 9% and she put the remaining 40% in a Treasury bill that pays 5% (variance equals to 0). Compute the standard deviation of the portfolio: A. 16% B. 18% C. 20% D. Not possible to determine 17. A passive investment strategy yhould exhibit a: A. Positive alpha () B. Negative alpha () C) A zero alpha () D. It cannot be determined 18. You invest $600 in JPM with a beta of 1.7 and $400 in MSFT with a beta of 0.5. The beta of the formed portfolio is A. 1.02 B. 1.12 C. 1.22 D. 1.32 19. A 120/20 strategy investment strategy that is used by some mutual funds consists in a combination of: (A.) 120% long and 20% short B. 120% short and 20% long C. 100% long and 20% short D. 20% long and 100% short 20. is often considered to be a measure of fund manager's skill. A. Beta B. Sharne ratio C. Alpha D. Variance 21. The security variance 2 (standard deviation squared) is a measure of A. Firm-specific (idiosyncratic) risk B. Total risk: C. Systemic rist D. Market risik 22. Suppose the standard deviation of a security is 25%. The security beta is 1.0 and the standard deviation of the market portfolio is 20%. Based on the information, the portion of idiosyncratic risk is: A. 64% B. 36% C. 50% D. 100%