Respuesta :
Market Portfolio Return= 11%
A market portfolio is a theoretical collection of investments that includes every asset type available in the investment universe, with each asset weighted in proportion to its overall market presence. The anticipated return for a market portfolio is the same as the anticipated return for the market as a whole.
Alpha = R – Rf – beta (Rm-Rf)
Where:
R denotes the market portfolio return.
Rf is the risk-free rate of return.
A portfolio's systematic risk is represented by beta.
Rm denotes the market return as measured by a benchmark.
0.01 = R - 0.04 - 1.2 (0.14-0.04)
0.01 = R - 0.1
market portfolio return R = 0.01+0.1
market portfolio return R = 0.11
Market Portfolio Return= 11%
To learn more about Market Portfolio Return, please refer:
https://brainly.com/question/16850960
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The complete question is:
Suppose the risk-free return is 4%. The beta of a managed portfolio is 1.2, the alpha is 1%, and the average return is 14%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as Multiple Choice
16%.
11%.
14%.
15%.
