According to Jensen's differential return measure, what is alpha?
A) The intercept of the SML line
B) The intercept of the CML line
C) A measure of the superior or inferior performance on a portfolio
D) The actual excess return on a portfolio during one period

Question

Quizplus · Accepted Answer

Alpha, according to Jensen's differential return measure, is a measure of the superior or inferior performance of a portfolio compared to the expected return predicted by the Capital Asset Pricing Model (CAPM).

According to Jensen's Differential Return Measure, What Is Alpha