Question
28. What would be the Sharpe Ratio of the Regression based portfolio? *note: you are given Risk Premiums (RPi = Ri Rf) as your input
28. What would be the Sharpe Ratio of the Regression based portfolio? *note: you are given Risk Premiums (RPi = Ri Rf) as your input data, hence, the average is RPi for each security
a. 0.1936 b. 0.2412 c. 0.2258 d. 0.3081 e. 0.5595
29. Consider the theory of active portfolio management based on Regression Analysis and Intercept/Var(ei) Ratio. Stocks A and B have the same positive intercepts and the same firm specific risk. Stock A has a higher beta than stock B. The model suggests that you should invest __________________.
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equal proportions in stocks A and B
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more in stock A than stock B
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more in stock B than stock A
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more information is needed to answer this question
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