A Portfolio Has a Beta of 1

question 33

Multiple Choice

A portfolio has a beta of 1.42 and an actual return of 13.5%. The risk-free rate is 1.5% and the market risk premium is 7.4%. What is the value of Jensen's alpha?

• A)−.93%
• B)1.05%
• C)1.32%
• D)1.49%
• E)1.69%

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Definitions:

Tickets

A slip or form that entitles the holder to enter a place, travel by public transport, or participate in an event.

Elimination

A method in mathematics used to remove variables from equations, often used in solving systems of equations.

Linear Equations

Equations of the first degree, meaning they involve only the first powers of variables, representing straight lines in two-dimensional space.

Elimination

A method in algebra used for solving systems of equations by removing variables.