Question: Es n _ E (x,- o>30, cr2 = E (x, x E(x, 0)0, p) = E cs, Pi, = = ' = wAEr, + wBEr8

Es n _ E (x,- o>30, cr2 = E (x, x E(x, 0)0, p) = E cs, Pi, = = ' = wAEr, + wBEr8 Er; = r f + (Erm r f) You constructed a portfolio with a 5% standard deviation and a beta of 0.2 using a risk-free rate of 5% and a market risk premium of 6%. Your portfolio generated an annual return of 10.12% over the last few years. If CAPM holds, what is the alpha of this portfolio, i.e., the added value of your portfolio?

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