Essentials-Of-Investments-8th-Ed-Bodie-投资学精要(第八版)课后习题答案 Chapter 18.pdfVIP

Chapter 18 - Portfolio Performance Evaluation CHAPTER 18 PORTFOLIO PERFORMANCE EVALUATION 1. a. Possibly. Alpha alone does not determine which portfolio has a larger Sharpe ratio. Sharpe measure is the primary factor, since it tells us the real return per unit of risk. We only invest if the Sharpe measure is higher. The standard deviation of an investment and its correlation with the benchmark are also important. Thus positive alpha is not a