You choose to construct a portfolio from the Stock A, Stock…
You choose to construct a portfolio from the Stock A, Stock B, and the risk-free investment. You make the following estimates of the three: Estimates of Alpha, Beta, and Firm-Specific Risk Alpha Beta Firm-Specific Std Dev Stock A 1.50% 1.20 70.00% Stock B 0.75% 1.50 65.00% Risk-Free Investment 0.00% 0.00 0.00% You invest 30% of your portfolio in Stock A, 30% in Stock B, and the remaining 40% in the risk-free investment. What is your portfolio’s alpha?