Asked by
Sydney Kimball
on Nov 04, 2024
Verified
To determine the optimal risky portfolio in the Treynor-Black model, macroeconomic forecasts are used for the _________, and composite forecasts are used for the __________.
A) passive index portfolio; active portfolio
B) active portfolio, passive index portfolio
C) expected return; standard deviation
D) expected return ; beta coefficient
E) alpha coefficient; beta coefficient
Treynor-Black Model
A portfolio optimization model that combines active and passive investment strategies to maximize performance.
Macroeconomic Forecasts
Predictions regarding the future state of an economy based on analysis of variables like GDP, inflation, and unemployment rates.
- Use macroeconomic and composite forecasts to determine the optimal risky portfolio in the Treynor-Black model.
Verified Answer
HH
Learning Objectives
- Use macroeconomic and composite forecasts to determine the optimal risky portfolio in the Treynor-Black model.