(Jensens alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the...

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(Jensen’s alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio.

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a. Calculate the beta of each stock and the market portfolio.

b. Calculate the “Normative return” based on the SML for each stock and the market portfolio.

c. Calculate Jensen’s alpha for each stock and the market portfolio.

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Principles Of Finance Wtih Excel

ISBN: 9780190296384

3rd Edition

Authors: Simon Benninga, Tal Mofkadi

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