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Consider the following information: Beta Portfolio Risk-free Market A Expected Return 6% 13.8 11.8 1.0 1.6 a. Calculate the the return predicted by CAPM for

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Consider the following information: Beta Portfolio Risk-free Market A Expected Return 6% 13.8 11.8 1.0 1.6 a. Calculate the the return predicted by CAPM for a portfolio with a beta of 1.6. (Round your answer to 2 decimal places.) Return % b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Alpha % c. If the simple CAPM is valid, is the situation above possible? Yes No

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