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18. Lynn's investment portfolio has a standard deviation of 5% and a correlation coefficient of...

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Finance

18. Lynn's investment portfolio has a standard deviation of 5% and a correlation coefficient of 0.95 when regressed against the market. The market has a standard deviation of 4% and a return of 10%. If the 90-day U.S. Treasury bill rate is 2% and Lynn's portfolio earns a 16% rate of return, what is Jensen's alpha for her portfolio? Show your work.

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