Jensen (1968). E proposed a very influential idea: when assessing mutual fund performance, we should compare funds only after accounting for the risks they take (rather than simply comparing returns). To see his argument, draw a SML, and put one dot above the SML (call it A) and one dot below it (call it B) while A and B have the same beta. (a) Describe the investment opportunities here.
Jensen (1968). E proposed a very influential idea: when assessing mutual fund performance, we should compare funds only after accounting for the risks they take (rather than simply comparing returns). To see his argument, draw a SML, and put one dot above the SML (call it A) and one dot below it (call it B) while A and B have the same beta. (a) Describe the investment opportunities here.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Jensen (1968) E proposed a very influential idea:
when assessing mutual fund performance, we should
compare funds only after accounting for the risks
they take (rather than simply comparing returns). To
see his argument, draw a SML, and put one dot
above the SML (call it A) and one dot below it (call it
B) while A and B have the same beta.
(a) Describe the investment opportunities here.
Buy B and sell A in a way that the portfolio has
zero market beta
Buy A and sell B in a way that the portfolio has
zero market beta
Just buy A to reach the highest possible return
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