=4. Your portfolio has a of 1.2, the no-risk cash rate is 5.6% and the risk

=4. Your portfolio has a β of 1.2, the no-risk cash rate is 5.6% and the risk premium is 3%. In this chapter you learned about the APT and were told that the two V factors are growth of GDP and unanticipated inflation. The equation for the model is: rj

= 5.6% + bj 1

× 2% + bj 2

× 5%. Suppose that the sensitivity of