What Is Jensen's Alpha of a Portfolio Comprised of 40

Multiple Choice

What is Jensen's alpha of a portfolio comprised of 40% Portfolio A and 60% of Portfolio B?
$$\begin{array} { c c c r } \text { Portfolio } & \text { Average Return } & \text { Standard Deviation } & \text { Beta } \\\text { A } & 16.3\% & 21.5\% & 1.58 \\\text {B } & 11.1 & 10.6 & 1.15\end{array}$$

The risk-free rate is 1.8% and the market risk premium is 5.3%.

A) 1.25%
B) 2.47%
C) 3.08%
D) 4.37%
E) 5.38%