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?

The following data are available on the performance of Semin…

The following data are available on the performance of Seminole Fund and the market portfolio:                                                                                 Seminole Fund            Market Portfolio Average Return                                                        16%                                 10% Standard Deviation of Returns                               28%                                 24% Beta                                                                              1.20                                 1.00 Residual Standard Deviation                                      6%                                    0% Assuming that the risk-free return during the sample period was 4%, calculate the M2 measure for the Seminole Fund.

The assumptions concerning the shape of utility functions of…

The assumptions concerning the shape of utility functions of investors differ between conventional utility theory and prospect theory. Conventional theory assumes that utility functions are _________ whereas prospect theory assumes that utility functions are _________. Select one.