medium · FRM Part 1 Foundations of Risk Management
A portfolio has an expected return of 12% and a volatility of 25%.
If the risk-free rate is 3% and the market risk premium is 6%, what is the Jensen's alpha if the portfolio's beta is 1.2?
- 1.8%
- 3.0%
- 0.6%
- 9.0%
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