Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 12.50 % 34.00 % 1.50
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 12.50 | % | 34.00 | % | 1.50 |
| Y | 11.50 | 29.00 | 1.20 | ||
| Z | 7.10 | 19.00 | .80 | ||
| Market | 10.50 | 24.00 | 1.00 | ||
| Risk-free | 6.20 | .00 | .00 | ||
| Assume that the tracking error of Portfolio X is 10.50 percent. What is the information ratio for Portfolio X?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.) |
| Information ratio |
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Risk Sharing Finance
Authors: Bakkali Mirakhor, Saad Abbas
1st Edition
3110590468, 978-3110590463
