Question
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of return is 4%
| Portfolio | Expected return | Standard deviation | Beta |
| A | 11.6% | 30% | 1.1 |
| B | 11.1% | 25% | 1.0 |
| C | 10.4% | 30% | 1.3 |
| S&P 500 | 9% | 15% | 1.0 |
What is the alpha of portfolio A?
| A. | 2.6% | |
| B. | 1.7% | |
| C. | 2.1% | |
| D. | 1.2% |
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Mathematics Of Finance
Authors: Robert Brown, Petr Zima
2nd Edition
0071756051, 9780071756051
