NO.PZ2023091901000052
问题如下:
Two portfolios that have the same expected return are
benchmarked to the same market index. In comparing these two portfolios, which
of the following statements about performance measures is correct?
选项:
A.The portfolio with the higher beta will have the
higher Treynor ratio.
Jensen’s alpha is particularly well suited for
comparing portfolios with different levels of risk.
The portfolio with the higher volatility will have the
higher Sharpe ratio but the lower Treynor ratio
There is an exact linear relationship between the
Treynor ratio and Jensen’s alpha for each portfolio
解释:
还有为什么B不正确?