A multifactor APT generalizes the single-factor model to accommodate several sources of systematic risk. The multidimensional security

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A multifactor APT generalizes the single-factor model to accommodate several sources of systematic risk. The multidimensional security market line predicts that exposure to each risk factor contributes to the security’s total risk premium by an amount equal to the security’s factor beta times the risk premium of the factor portfolio that tracks that source of risk.

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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