Question
Over the last year, the market realized a return of 10%, while the risk-free rate was 1.8%. During this period, your own portfolio, which has
Over the last year, the market realized a return of 10%, while the risk-free rate was 1.8%. During this period, your own portfolio, which has a beta of 0.9, realized a return of 11.4%.
What was the realized alpha on your portfolio, based on the CAPM?
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Fundamentals Of Futures And Options Market
Authors: John C. Hull
6th Edition
0132242265, 9780132242264
