Question: Problem 7-17 Consider the following information: Expected Portfolio Return Beta Risk-free 5% 0 Market 11.8 1.0 9.8 2.2 a. Calculate the return predicted by CAPM

Problem 7-17 Consider the following information: Expected Portfolio Return Beta Risk-free 5% 0 Market 11.8 1.0 9.8 2.2 a. Calculate the return predicted by CAPM for a portfolio with a beta of 2.2. (Round your answer to 2 decimal places.) 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 situation above possible? Yes No

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