Question
What would the resulting Sharpe Ratio for a portfolio formed, according to the Treynor-Black Model, by combining the market portfolio (Sharpe Ratio of 0.52) with
What would the resulting Sharpe Ratio for a portfolio formed, according to the Treynor-Black Model, by combining the market portfolio (Sharpe Ratio of 0.52) with a security that has alpha of 1.40% and an information ratio of 0.44%?
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Statistics For Business Decision Making And Analysis
Authors: Robert Stine, Dean Foster
2nd Edition
978-0321836519, 321836510, 978-0321890269
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