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If the Treynor-Black model is used to create a portfolio formed with the market portfolio and one additional security, would be the resulting Sharpe Ratio
If the Treynor-Black model is used to create a portfolio formed with the market portfolio and one additional security, would be the resulting Sharpe Ratio of this newly formed portfolio if the market portfolio has a Sharpe Ratio of 0.6 and the additional security has an information ratio of 0.26?
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Yes the TreynorBlack model assumes that the additional security has zero correlation with ...
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Corporate Finance
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
3rd Edition
0077173635, 9780077173630
