You have a residual risk aversion of lr 012 and an, Portfolio Management

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You have a residual risk aversion of lr 012 and an

1. You have a residual risk aversion of lR = 0.12 and an information ratio of IR = 0.60. What is your optimal level of residual risk? What is your optimal value added?

2. Oops. In fact, your information ratio is really only IR = 0.30. How much value added have you lost by setting your residual risk level according to Problem 4 instead of at its correct optimal level?

Text Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.

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Portfolio Management: You have a residual risk aversion of lr 012 and an

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Portfolio Management: You have a residual risk aversion of lr 012 and an

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