Question
Consider the following information: Portfolio Expected Return Beta Risk-free 5 % 0 Market 13.0 1.0 A 11.0 2.0 a. Calculate the the return predicted by
Consider the following information:
| Portfolio | Expected Return | Beta | |
| Risk-free | 5 | % | 0 |
| Market | 13.0 | 1.0 | |
| A | 11.0 | 2.0 | |
a. Calculate the the return predicted by CAPM for a portfolio with a beta of 2.0.(Round your answer to 2 decimal places.)
Return
%
b. What isthe alpha of portfolioA.(Negative value should be indicated by a minus sign.Round your answer to 2 decimal places.)
Alpha
%
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
