Question
Using CAPM, determine the amount of (Jensen's) alpha generated by a manager who has a portfolio that returned 7.48%, that has a beta of 0.95,
Using CAPM, determine the amount of (Jensen's) alpha generated by a manager who has a portfolio that returned 7.48%, that has a beta of 0.95, the equity risk premium is deemed to be 6.75%, and the risk free rate of return is 0.75%?
If the beta of the portfolio was 1.45, what return would the manager have to have generated to maintain the same level of alpha?
What is the level of the Return of the Market?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
