Suppose the risk free return is 4%. The beta of a managed portfolio is 1.2, the alpha is 1%, the average return is 14%. Based on Jensen's measure of portfolio performance, calculate the return on market portfolio.

2. Given the market expected return of 12%, standard deviation of market return of 20% and a risk free rate of return 7%, what is the expected return of an inefficient portfolio with standard deviation 25%?

3. Given the market expected return of 10%, standard deviation of market return of 15% and a risk free rate of return 5%, what is the expected return of an efficient portfolio with standard deviation 5%?

Answer rating: 100% (QA)

1 Jensens measure of portfolio performance is calculated using the formula Jensens Alpha Portfolio Return RiskFree Rate Beta Market Return RiskFree Ra... View the full answer