QUESTION 11 and a long position in Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 21%. Portfolio B has a beta of .7 and an expected return of 17%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio. portfolio A; B B; B A; A B; A QUESTION 17 Consider the multi-factor APT with two factors. Portfolio A has a beta of .5 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is 16.25% 23% if no arbitrage opportunities exist. 13.5% 15%
QUESTION 11 and a long position in Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 21%. Portfolio B has a beta of .7 and an expected return of 17%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio. portfolio A; B B; B A; A B; A QUESTION 17 Consider the multi-factor APT with two factors. Portfolio A has a beta of .5 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is 16.25% 23% if no arbitrage opportunities exist. 13.5% 15%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:QUESTION 11
and a long position in
Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 21%. Portfolio B has a beta of .7 and an expected return of 17%. The risk-free
rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio.
portfolio
A; B
B; B
A; A
B; A
Transcribed Image Text:QUESTION 17
Consider the multi-factor APT with two factors. Portfolio A has a beta of .5 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and 2
portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is
16.25%
23%
if no arbitrage opportunities exist.
13.5%
15%
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