What Is Jensen's Alpha of a Portfolio Comprised of 30

question 46

Multiple Choice

What is Jensen's alpha of a portfolio comprised of 30 percent portfolio A and 70 percent of portfolio B? The risk-free rate is 3.1 percent and the market risk premium is 6.8 percent.

• A) -1.25 percent
• B) 0.47 percent
• C) 1.08 percent
• D) 1.46 percent
• E) 1.85 percent