Question
Consider the following information: Portfolio Expected Return Beta Risk-free 7 % 0 Market 13.3 1.0 A 10.0 0.7 a. Calculate the expected return of portfolio
Consider the following information:
| Portfolio | Expected Return | Beta | |
| Risk-free | 7 | % | 0 |
| Market | 13.3 | 1.0 | |
| A | 10.0 | 0.7 | |
|
| |||
a. Calculate the expected return of portfolio A with a beta of 0.7. (Round your answer to 2 decimal places.)
Expected 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 %
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
7th Edition
0324171730, 978-0324171730
