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13. 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%

13. 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

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