A portfolio manager plans to add three securities with the following characteristics to a well-diversified portfolio:
Security 1 has the highest Jensen's alpha;
Security 2 has the highest information ratio;
Security 3 has the lowest nonsystematic variance.
To maximize the portfolio's risk-adjusted return, the manager should assign the highest relative weight to:
A
Security 1.
B
Security 2.
C
Security 3.
感觉是没学过的知识点呢
