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Consider the following information: Portfolio Risk-free Market Expected Return 6% 13.2 11.2 Beta 0 1.0 2.1 a. Calculate the return predicted by CAPM for a

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Consider the following information: Portfolio Risk-free Market Expected Return 6% 13.2 11.2 Beta 0 1.0 2.1 a. Calculate the return predicted by CAPM for a portfolio with a beta of 2.1. Return % b. What is the alpha of portfolio A. (Negative value should be indicated by a Alpha % c. If the simple CAPM is valid, is the situation above possible? Yes No

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