Question
Suppose you have been asked to analyze two portfolios having the following characteristics: Portfolio Expected rate of return Beta Residual variance 1 0.18 1.8 0.04
Suppose you have been asked to analyze two portfolios having the following characteristics:
Portfolio Expected rate of return Beta Residual variance
1 0.18 1.8 0.04
2 0.12 0.7 0.00
The return on the market portfolio is 0.14.
The risk free rate is 0.07
The standard deviation of the market portfolio is 0.02.
Compute the Treynor Index for portfolios 1 and 2
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International Financial Management
Authors: Jeff Madura
3rd Edition
0314862722, 978-0314862723
