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If the Average Realized Return of a Portfolio Is 20

Question 16

Multiple Choice

If the average realized return of a portfolio is 20% per year, the standard deviation of returns is 30%, the portfolio beta is 1.5, the average return of Treasury bills over the same period is 5% per year, and the average return on the market is 15% per year, the Jensen measure is


A) 0
B) 5%
C) 10%
D) 20%

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