Consider the following well diversified portfolios A: expected ROR =7% with beta=0.5, B: expected ROR =12% with beta =0.9, C:expected ROR =14% with beta = 1.3. What is the arbitrage profit per $1000 notional amount in portfolio A (long or short position.) Enter a number without a dollar sign. Numeric Response

Consider the following well diversified portfolios A: expected ROR =7% with beta=0.5, B: expected ROR =12% with beta =0.9, C:expected ROR =14% with beta = 1.3. What is the arbitrage profit per $1000 notional amount in portfolio A (long or short position.) Enter a number without a dollar sign. Numeric Response

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 20P

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Description Provide the portfolio percentages to accomplish the following: 1. 5% chance of loosing at most $50,000 2. 5% chance of losing at most $75,000 3. Maximize the value of "Expected returns - 0,1*VaR"