a. Explain how Jensen's alpha assesses portfolio performance. (7 marks) b. A variance-averse investor has utility function (, 2) = 2 2, where is portfolio expected return, is portfolio standard deviation, and is the investor's risk-aversion coefficient. If the risk-free rate of return is 3%, the average return on the market index is 7%, and the standard deviation of the market index is 30%, what risk-aversion coefficient would justify an optimal investment consisting only of the market index? (9 marks) c. A bond portfolio has modified duration 4 and convexity 18. What is the percentage reduction in the price of the bond if there is a half-point reduction in the yield-to-maturity (50 basis points)? You should assume that the term structure is flat