Reading 55, 第7题: " Based on the information provided in Exhibit 1, which of Koshy's results from applying the TB model is most accurate? 请分别解释题目的选项。谢谢！作者: apf陈老师 时间: 2013-10-10 12:36
Result 1: active portfolio的beta和the optimal weight in the optimal overall risky portfolio之间存在着反向关系； Result 2: optimal overall risky portfolio的Sharpe Ratio比market (passive) portfolio的Sharpe Ratio要大； Result 3: optimal overall risky portfolio的expected return更接近于active portfolio return而不是the market (passive) portfolio return.
