A Portfolio Has an Average Return of 14 Percent, a Standard

Multiple Choice

A portfolio has an average return of 14 percent, a standard deviation of 27 percent, and a beta of 1.15. The risk-free rate is 4.5 percent, and the expected return of the market is 12 percent. What is Jensen's alpha for the portfolio?

A) 0.705%
B) 0.625%
C) 0.875%
D) 0.550%
E) 0.920%