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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Definitions:

Appraisal Theory

A theory in psychology which states that our emotional response to an event is shaped by our perception and evaluation of the event.

Transactional Model of Stress

A framework that emphasizes the individual's perception and appraisal of a stressful event as crucial in determining their stress response.

Attribution Theory

A psychological theory that explains how individuals interpret and assign causes to behaviors and events around them.

Positive Stressor

An event or situation that causes stress but is perceived as beneficial or motivating, leading to improved performance or well-being.