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Suppose that the actual returns for Portfolios 1, 2, and 3 were as follows: Portfolio 1 11.3 Portfolio 2 12.5 Portfolio 3 9.4 Also, assume
Suppose that the actual returns for Portfolios 1, 2, and 3 were as follows:
Portfolio 1 | 11.3 |
Portfolio 2 | 12.5 |
Portfolio 3 | 9.4 |
Also, assume that the risk-free rate was 5.5 percent and the average return on the market portfolio was 8 percent.
- Which of the three portfolios has the highest Jensens alpha? Show your work.
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