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Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P ? P ? P X 13.5 % 34
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | ?P | ?P | ||
| X | 13.5 | % | 34 | % | 1.25 |
| Y | 12.5 | 29 | 1.1 | ||
| Z | 9.3 | 19 | 0.7 | ||
| Market | 11.5 | 24 | 1 | ||
| Risk-free | 5 | 0 | 0 | ||
| Assume that the tracking error of Portfolio X is 7.6 percent. What is the information ratio for Portfolio X? |
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Options Futures And Other Derivatives
Authors: John C. Hull
7th Edition
0136015867, 9780136015864
