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What is Jensen's alpha of a portfolio comprised of 40% Portfolio A and 60% of Portfolio B? Portfolio Average Return Standard Deviation Beta A 16.3
What is Jensen's alpha of a portfolio comprised of 40% Portfolio A and 60% of Portfolio B?
| Portfolio | Average Return | Standard Deviation | Beta | ||
| A | 16.3 | % | 21.5 | % | 1.58 |
| B | 11.1 | 10.6 | 1.15 | ||
The risk-free rate is 1.8% and the market risk premium is 5.3%.
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Fundamentals Of Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Bradford Jordan
13th Edition
1265553602, 978-1265553609
