题目
Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 5%. What is Jensen’s alpha for portfolio A?
选项
A.0.5%
B.1.0%
C.10%
D.15%
答案
A
解析
The Jensen measure of a portfolio, or Jensen’s alpha, is computed as follows:「huixue_img/importSubject/1564170579320377344.jpeg」