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Suppose the Risk-Free Return Is 3

Question 20

Multiple Choice

Suppose the risk-free return is 3%.The beta of a managed portfolio is 1.75,the alpha is 0%,and the average return is 16%.Based on Jensen's measure of portfolio performance,you would calculate the return on the market portfolio as


A) 12.3%
B) 10.4%
C) 15.1%
D) 16.7%
E) none of the above

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