Jensen's Alpha ·
α = R_p − [R_f + β·(R_m − R_f)]
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.com · Jensen 1968 · Security Market Line · Above the line = skill
α
—
Beat
—
Beat
—
Security Market Line (CAPM)
α (positive — above SML)
α (negative — below SML)
Market portfolio (β = 1)
Risk-free anchor R_f
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