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
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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Essentials Of Business Statistics
Authors: Bruce Bowerman, Richard Connell, Emily Murphree, Burdeane Or
5th Edition
978-1259688867, 1259688860, 78020530, 978-0078020537
