Question: Suppose the risk - free return is 2 . 5 % . The beta of a portfolio is 1 . 1 , its Jensen s

Suppose the risk-free return is 2.5%. The beta of a portfolio is 1.1, its Jensens alpha is
0.7%, and its return is 11%. Based on Jensen's measure of portfolio performance, you
would calculate the return of the market portfolio as

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