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: | Chartered Financial Analyst Level 1 Quiz - LeetQuiz
Chartered Financial Analyst Level 1
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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: