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6c) The Sharpe ratio and Jensens alpha of portfolio A are 0.167 and 0.06 respectively....

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Finance

6c) The Sharpe ratio and Jensens alpha of portfolio A are 0.167 and 0.06 respectively. The risk-free rate is 3%, the average return on the market portfolio is 7%, the variance of the market portfolio is 0.09, and the correlation coefficient between A and the market portfolio is 0.5. What is the expected return and the variance of A? (9 marks)

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