Multiple Choice
Your portfolio actually earned 6.2 percent for the year.You were expecting to earn 8.6 percent based on the CAPM formula.What is Jensen's alpha if the portfolio standard deviation is 12.1 percent and the beta is 0.93?
A) −3.91 percent
B) −3.40 percent
C) −2.96 percent
D) −2.40 percent
E) −1.87 percent
Correct Answer:
Verified
Correct Answer:
Verified
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