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Three securities have the characteristics described in the following table: Stock X Stock Y Stock...

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Three securities have the characteristics described in the following table: Stock X Stock Y Stock Z -1% 4% 3% B 0.6 1.8 Oci 4% 8% 6% A portfolio consists of 50% of the investor's funds in Y, and the remaining amount consists of 25% in each of the other assets X and Z. The expected market return is 12% (Rm = 12%) and the standard deviation of market returns is 5% (om = 5%). 0.8 What is the alpha of the portfolio? O A. Less than 1.5% O B. Greater than or equal to 1.5% and less than 2% O C. Greater than or equal to 2% and less than 2.5% O D. Greater than or equal to 2.5% and less than 3% O E. Greater than or equal to 3%

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