4. On a market with an average expected return of 11% the efficient frontier has the followin equation: E(Rpf) = 5%+3*Opf Compute the Treynor Ratio and the Jensen's alpha coefficient of an actively managed wel diversified portfolio of which return equals 13.5% and variance equals 0.0676%.

4. On a market with an average expected return of 11% the efficient frontier has the followin equation: E(Rpf) = 5%+3*Opf Compute the Treynor Ratio and the Jensen's alpha coefficient of an actively managed wel diversified portfolio of which return equals 13.5% and variance equals 0.0676%.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter3: Risk And Return: Part Ii

Section: Chapter Questions

Problem 2P: APT An analyst has modeled the stock of Crisp Trucking using a two-factor APT model. The risk-free...

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Question

4. On a market with an average expected return of 11% the efficient frontier has the following
equation:
E(Rpf) = 5%+3*Opf
Compute the Treynor Ratio and the Jensen's alpha coefficient of an actively managed well-
diversified portfolio of which return equals 13.5% and variance equals 0.0676%.

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