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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 % 35
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | ?P | ?P | ||
| X | 13.5 | % | 35 | % | 1.55 |
| Y | 12.5 | 30 | 1.2 | ||
| Z | 7.1 | 20 | 0.8 | ||
| Market | 10.6 | 25 | 1 | ||
| Risk-free | 4.4 | 0 | 0 | ||
| Assume that the tracking error of Portfolio X is 11.5 percent. What is the information ratio for Portfolio X?(Round your answer to 4 decimal place.) please not just answer. show solution. |
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
