Question
If the return on portfolio A is 13%, the market portfolio return is 8%, the inflation rate is 4%, the risk-free rate is 5%, the
If the return on portfolio A is 13%, the market portfolio return is 8%, the inflation rate is 4%, the risk-free rate is 5%, the standard deviation of the return for portfolio A is 8% and the standard deviation of the return on the market portfolio is 14%, and the portfolio As beta is 0.8, the Jensens alpha for market portfolio will be 5.60%.
- A. True
- B. False
If the return on portfolio A is 6%, the market portfolio return is 10%, the inflation rate is 1%, the risk-free rate is 3%, the standard deviation of the return for portfolio A is 8% and the standard deviation of the return on the market portfolio is 14%, and the portfolio As beta is 0.6, the Jensens alpha for portfolio A will be 0.50%.
- A. True
- B. False
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Financial Management Concepts and Applications
Authors: Stephen Foerster
1st edition
013293664X, 978-0132936644
