Under the Jensen approach, if the market rate of excess returns is 5.75 percent, a portfolio...
Under the Jensen approach, if the market rate of excess returns is 5.75 percent, a portfolio with beta of .9 should provide excess returns of
A. 5.175 percent
B. 4.5 percent
C. 5 percent
D. There is not enough information to tell.
Homework Answers
Answer is 5.175%
Market rate of excess returns = 5.75%
Portfolio beta = 0.90
Excess return = Market rate of excess returns * Portfolio
beta
Excess return = 5.75% * 0.90
Excess return = 5.175%
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