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Amanda Keene, CFA, works for an investment firm that employs the Treynor-Black portfolio optimization model. Keene predicts that the market index return will move higher next year as markets move closer to equilibrium. Keene advises a client, whose risk aversion will remain unchanged next year. Using the Treynor-Black framework, Keene should make which of the following changes in her client’s allocations, with respect to the percentage of actively managed and passively managed portfolios, noting that the remaining percentage is allocated to cash? A. Decrease only actively managed portfolios. B. Decrease both portfolios. C. Decrease only passively managed portfolios. |