Allison's portfolio has an expected return of 14% and a beta of 1.37. Brianna's portfolio has an expected rate of return of 11% and a beta of 1. The risk-free rate is 3% and the expected rate of return on the market is 12%
According to the Jensen's measure,
A) Allison has the better portfolio.
B) Brianna has the better portfolio.
C) the portfolios are equally desirable.
D) the answer depends on Allison and Brianna's risk tolerance.
Answer: B
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