Question: Consider the following information: Portfolio Expected Return Beta Risk-free 12 % 0 Market 12.6 1.0 A 10.6 0.7 a. Calculate the expected return of portfolio

Consider the following information:

Portfolio Expected Return Beta
Risk-free 12 % 0
Market 12.6 1.0
A 10.6 0.7

a. Calculate the expected return of portfolio A with a beta of 0.7. (Round your answer to 2 decimal places.)

Expected return ______ %

b. What is the alpha of portfolio A . (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.)


Alpha _______%


c. If the simple CAPM is valid, is the above situation possible?

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