A Portfolio with a Beta of 0

question 6

Multiple Choice

A portfolio with a beta of 0.9 has an expected return of 11 percent and a standard deviation of 24 percent. The expected return of the market is 12 percent, and the risk-free is 5 percent. What is Jensen's alpha for the portfolio?

• A) -0.49%
• B) -0.54%
• C) -0.38%
• D) -0.30%
• E) -0.45%

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