Which of the following situations represent(s) arbitrage opportunity(ies)? Select one or more: A well diversified portfolio with zero systematic risk has an expected return higher than the riskfree deposit/borrowing rate. A Japanese bank is offering a JPY borrowing rate of 0.01% while an Australian bank is offering an AUD deposit rate of 6%. A well diversified portfolio with zero systematic risk has an expected return lower than the riskfree deposit/borrowing rate. An asset is having a significantly positive Jensen's alpha.
Which of the following situations represent(s) arbitrage opportunity(ies)? Select one or more: A well diversified portfolio with zero systematic risk has an expected return higher than the riskfree deposit/borrowing rate. A Japanese bank is offering a JPY borrowing rate of 0.01% while an Australian bank is offering an AUD deposit rate of 6%. A well diversified portfolio with zero systematic risk has an expected return lower than the riskfree deposit/borrowing rate. An asset is having a significantly positive Jensen's alpha.
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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Which of the following situations represent(s) arbitrage opportunity(ies)?
Select one or more:
- A well diversified portfolio with zero systematic risk has an expected return higher than the riskfree deposit/borrowing rate.
- A Japanese bank is offering a JPY borrowing rate of 0.01% while an Australian bank is offering an AUD deposit rate of 6%.
- A well diversified portfolio with zero systematic risk has an expected return lower than the riskfree deposit/borrowing rate.
- An asset is having a significantly positive Jensen's alpha.
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