Decompose the portfolio return into four components

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The return on a mutual fund portfolio during the last few years was 35 %, when the return on the market portfolio was 20 %. The standard deviation of the portfolio return was 12% whereas the standard deviation of the market portfolio return was 18%. The portfolio beta was 1.7. The risk-free rate was 9 %. Decompose the portfolio return into four components as suggested by Fama

Reference no: EM133118778

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