In an efficient market the security selection is not useful. However, if one is able to identify a positive alpha asset in an otherwise efficient
In an efficient market the security selection is not useful. However, if one is able to identify a positive alpha asset in an otherwise efficient market, one can implement the Treynor-Back procedure, which allows an improvement in the Sharpe ratio, which is proportional to the square of the information ratio.
A. True B. False
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Authors: Paula H. Song, Kristin L. Reiter
4th Edition
1640553223, 978-1640553224
