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2017. The portfolios identified below are being considered for investment. During the period under consideration the risk free rate is .08. Under the Treynor measure,
2017. The portfolios identified below are being considered for investment. During the period under consideration the risk free rate is .08. Under the Treynor measure, which portfolio performed best?
Portfolio Return Beta s
A 0.17 1.0 0.05
B 0.21 1.5 0.10
C 0.12 0.6 0.02
D 0.19 1.1 0.06
A) A
B) B
C) C
D) D
E) Two portfolios are tied
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