1.a. Expected Return of Portfolio =Risk free rate+Beta*(Market
Return-Risk free rate)=6%+1.6*(13.8%-6%) =18.48%
b. Alpha of Portfolio A =Actual Return -Expected Return
=11.8%-18.48% =-6.68%
c. No. if CAPM was valid this would not happened.
Consider the following information: Beta Portfolio Risk- free Market Expected Return 6 % 13.8 11.8 a....
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