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Consider the following information: Portfolio Risk-free Market Expected Return 108 18 16 Beta 0 1.0 0.9 a. Calculate the expected return of portfolio A with

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Consider the following information: Portfolio Risk-free Market Expected Return 108 18 16 Beta 0 1.0 0.9 a. Calculate the expected return of portfolio A with a beta of 0.9. Expected return b. What is the alpha of portfolio A. (Round your answer to 2 decimal places. Negative value should be indicated by a minus sign.) Alpha c. If the simple CAPM is valid, is the above situation possible? O Yes O No

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