18. If the CAPM and APT both hold, why must it be the case that the factor-risk...

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18. If the CAPM and APT both hold, why must it be the case that the factor-risk premium is negative for a factor that is negatively correlated with the market portfolio?

Explain both mathematically and intuitively.

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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Question Posted: Jul 25, 2024 06:05 AM

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18. If the CAPM and APT both hold, why must it be the case that the factor-risk...

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Investments

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