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A portfolio generates an annual retum of 16, a beta of 1.2 , and a standard deviation of 19. The market index return is 12

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A portfolio generates an annual retum 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. 0.036 B. 0.078 C. 0.017 D. 0.028

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