(3) 假設無風險利率為 4% 。投資組合的貝他值是1.2，Jensen's Alpha為 1% ，平均報酬為 14% ，請問市場投資組合報酬為多少？(2分)

1、(20%) A vendor of milk products produces and sells low-fat dry milk to a company that uses it to produce baby formula. In order to determine the fat content of the milk, both the company and the vendor take a sample from each lot and test it for fat content in percent. Ten sets of paired test results Let $\mu_D = \mu_X - \mu_Y$ denote the mean of the differences between X and Y. Test H0: $\mu_D = \mu_X - \mu_Y = 0$ against H1: $\mu_D = \mu_X - \mu_Y > 0$ using t-test for the differences. Let $\alpha = 0.05$. (All values are rounded to the third decimal place.) (Hints: t0.95(9) = 1.833; t0.975(9) = 2.262; t0.95(10) = 1.812; t0.975(10) = 2.228, where P(t < t1-α(r)) = 1 - α for a t random variable with a freedom r)

題組內容

(3) 假設無風險利率為 \( 4\% \) 。投資組合的貝他值是1.2，Jensen's Alpha為 \( 1\% \) ，平均報酬為 \( 14\% \) ，請問市場投資組合報酬為多少？(2分)

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