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What is the expected return of an efficient portfolio

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Reference no: EM132956583

1. 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, you would calculate the return on market portfolio as.
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%?

Reference no: EM132956583

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