Multiple Choice
A portfolio generates an annual return of 16%,a beta of 1.2 and a standard deviation of 19%.The market index return is 12% and has a standard deviation of 16%.What is Jensen's alpha of the portfolio if the risk free rate is 6%?
A) .017
B) .028
C) .036
D) .078
Correct Answer:
Verified
Correct Answer:
Verified
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