Question
A small stock that you are following has an alpha = 7% and a standard deviation of its regression residuals of 20.75%.The Sharpe ratio of
A small stock that you are following has an alpha = 7% and a standard deviation of its regression residuals of 20.75%.The Sharpe ratio of the market index portfolio M is 0.36.According to the Treynor-Black Model, by how much could this active investor improve his/her Sharpe ratio relative to investing only in the passive market index portfolio M?
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
