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VALU P ILS you age your portfolio and I'll provide an annual return of 7% (this retur gross, 1.e., before management fees). I'll only charge
VALU P ILS you age your portfolio and I'll provide an annual return of 7% (this retur gross, 1.e., before management fees). I'll only charge management fees 1%." Would you take his investment offer? 6. (Jensen's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. A _ 1 JENSEN'S ALPHA 2 Risk-free return 2% Market 3 Mutual fund portfolio 7% 20% 10% 5 Standard deviation 25% 72% 18% 6 Correlation coefficient with the market (Pim) 0.36 0.5 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha a. Calculate the beta of each stock and the market portfolio. b. Calculate the "Normative return based on the SML for each stock and the market portfolio. c. Calculate Jensen's alpha for each stock and the market portfolio
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