Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P ? P ? P X 13
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | ?P | ?P | ||
| X | 13 | % | 29 | % | 1.18 |
| Y | 11 | 24 | 1.10 | ||
| Z | 8 | 14 | 0.75 | ||
| Market | 9 | 19 | 1.00 | ||
| Risk-free | 4 | 0 | 0 | ||
What is the percentage Jensens alpha of portfolio X? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your ratio answers to 2 decimal places. )
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Empirical Finance
Authors: Sardar M. N. Islam, Sethapong Watanapalachaikul
1st Edition
3790815519, 978-3790815511
