習(xí)題：
　　Exercise:
　　For a given portfolio, the expected return is 10% with a standard deviation of 15%. The beta of the portfolio is 0.75. The expected return of the market is 11% with a standard deviation of 18%. The risk-free rate is 4%. The portfolio’s Treynor measure is closest to:
　　A.      0.0075
　　B.      0.0120
　　C.      0.0400
　　D.      0.0800
　　解析：
　　Answer: D
 
　　Explanation:
　　知識(shí)點(diǎn)：
　　Treynor Ratio
　　The Treynor Ratio is equal to the risk premium divided by beta, or systematic risk:
　　where  is the expected return of portfolio P.  is the risk-free rate.  is the systematic risk of the portfolio.
 

 
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