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6. Assume that there are two factors that price assets. Interest rate ry = 4%. You have the following information about two well-diversified arbitrage-free
6. Assume that there are two factors that price assets. Interest rate ry = 4%. You have the following information about two well-diversified arbitrage-free risky portfolios. Total: 25 marks. Asset E(r) B B I 1 15% 1.5 1 2 12% 1 0.8 Answer the following questions: (a) Calculate the risk premium of the two risk factors. (10 marks)
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Intermediate Financial Management
Authors: Eugene F. Brigham, Phillip R. Daves
11th edition
978-1111530266
