A stock trader you employ currently follows 24 stocks and up…

A stock trader you employ currently follows 24 stocks and updates her alpha forecasts every month. She then initiates a certain number of trades each month (less than 24) based on this analysis. You have analyzed her past performance for several years, and find she has an IC = 0.07 and an IR = 0.63. Using the information provided , how many stocks would she need to follow to increase her IR from 0.63 to 0.75? Assume that her IC will remain at 0.07.

Consider the Treynor-Black model again. The alpha of your ac…

Consider the Treynor-Black model again. The alpha of your active portfolio is 2.8%. The expected return on the market index is 12%. The variance of the return on the market portfolio is 0.06. The non-systematic variance of the active portfolio is 0.08. The risk-free rate of return is 2%. The beta of the active portfolio is 1.25. What is the optimal proportion of your investment capital to invest in your active portfolio?