Suppose the portfolio referenced in problem 8 actually yielded 10%. What would be the Alpha of the portfolio? For your convenience, problem 8 read as follows:

Suppose the risk-free rate is 1% and the markets risk premium is 7%. If a portfolio has a Beta of 1.2, what rate of return would you expect on this portfolio?

Select one:

a. 1.3%

b. .6%

c. .4%

d. -1.3%