A Portfolio Has a Beta of 1

question 10

Multiple Choice

A portfolio has a beta of 1.25 and an actual return of 13.0 percent.The risk-free rate is 4.50 percent and the market risk premium is 8.2 percent.What is the value of Jensen's alpha?

• A) −0.86
• B) −1.01
• C) −1.14
• D) −1.25
• E) −1.34

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