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Considering a portfolio of stocks A, which provided 12% of return in the last year,...

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Finance

Considering a portfolio of stocks A, which provided 12% of return in the last year, with the beta of 0.8 the standard deviations of 15%, and, also assuming the risk-free rate is 4% and the market benchmark return in the same period of 7%. The portfolio manager wants to know whether this portfolio has outperformed the market benchmark. Use the three measures of performance (Sharpe, Treynor and Jensen) to analyze the comparative performance.

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