Question

56. Which of the following are true about Treynor-Black model ?
(A) portfolio weight are sensitive to large alpha values which can lead to infeasible long or short position for many portfolio managers.
(B) portfolio weight are not sensitive to large alpha values which can lead to infeasible long or short position for many portfolio managers.
(C) portfolio weight are sensitive to large alpha values which can lead to the optimal portfolio for most portfolio managers.
(D) portfolio weight are not sensitive to large alpha values which can lead to the optimal portfolio for most portfolio managers.

Answer 1

I thought B

Explanation:

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