A portfolio generates an annual return of 17%, a beta of 1.2 and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is Jensen’s alpha of the portfolio if the risk free rate is 4%?
Compute the modified durationof a 9% coupon, 3-year corporate bond with a yield to maturity of 12%. Assume annual coupon payments for this problem.