Consider the following information:

Portfolio	Expected Return		Standard Deviation
Risk-free	10	%	0
Market	10.4		1.0
A	9.0		0.8

a. Calculate the expected return of portfolio A with a beta of 0.8. (Round your answer to 2 decimal places.)

Expected return 8.32 %

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 .68 %

c. If the simple CAPM is valid, is the above situation possible? Why or why not?