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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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