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Suppose the risk-free return is 2%. The beta of a managed portfolio is 1.5, the alpha is 0%, and the average return is 15%. Based
Suppose the risk-free return is 2%. The beta of a managed portfolio is 1.5, the alpha is 0%, and the average return is 15%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as Select one: A. 12.3%. B. 9.0%. C. 10.4%. D. 10.7%.
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Quantitative Trading
Authors: Ernest P. Chan
2nd Edition
1119800064, 978-1119800064
