A IS CORRECT. THE OPTIMAL ACTIVE RISK IS GIVEN AS 𝑆𝑇𝐷(𝑅𝐴) = 𝐼𝑅 ×𝑆𝑇𝐷...

CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R51 ANALYSIS OF ACTIVE PORTFOLIO MANAGEMENT Q BANK

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7. A is correct. The optimal active risk is given as 𝑆𝑇𝐷(𝑅

_𝐴

) = 𝐼𝑅 ×

^𝑆𝑇𝐷

^𝐵

𝑆𝑅

_𝐵

= 0.5 ×

^8%0.3

=