Question
You have identified an actively managed mutual fund with the following characteristics: alpha of 0.50%, beta of 1.3, and standard deviation of 16%. The expected
You have identified an actively managed mutual fund with the following characteristics: alpha of 0.50%, beta of 1.3, and standard deviation of 16%. The expected excess return on the S&P500 is 7% and its variance is 0.013. Use the Index Model. How much of your optimal risky portfolio should you actively manage?
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Intermediate Financial Management
Authors: Brigham, Daves
10th Edition
978-1439051764, 1111783659, 9780324594690, 1439051763, 9781111783655, 324594690, 978-1111021573
