Consider the following information for four portfolios, the market, and the risk-free rate (RFR): Portfolio Return Beta SD A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125 Market 0.11 1 0.2 RFR 0.03 0 0 Refer to Exhibit 18.6. Calculate the Jensen alpha Measure for each portfolio. a. A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 b. A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 c. A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 d. A1 = 0.03, A2 = -0.002, A3 = 0.02, A4 = -0.14 e. A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14

Consider the following information for four portfolios, the market, and the risk-free rate (RFR): Portfolio Return Beta SD A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125...

Consider the following information for four portfolios, the market, and the risk-free rate (RFR):

Refer to Exhibit 18.6. Calculate the Jensen alpha Measure for each portfolio.

a. A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02

b. A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014

c. A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014

d. A1 = 0.03, A2 = -0.002, A3 = 0.02, A4 = -0.14

e. A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14

Jun 06, 2022