1. A portfolio has a beta of 1.7 and an actual return of 14.5 percent. The risk-free rate is 3.5 percent and the market risk premium is 8.2 percent. What is the value of Jensen's alpha?

a.

1.14 percent

b.

1.23 percent

c.

1.01 percent

d.

2.94 percent

e.

3.01 percent

2.

The Sharpe-optimal portfolio is the single combination of specified assets which lies on the _____ and creates the steepest line when graphically connected to the _____. Assume the graph plots the expected return against the standard deviation.

a.

efficient frontier; risk-free rate

b.

efficient frontier; portfolio standard deviation

c.

security market line; risk-free rate

d.

security market line; standard deviation

e.

efficient frontier; market rate of return