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8. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1, and a
8. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1, and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is 3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exist? A. 9.26% B. 3% C. 4% D. 7.75%
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Risk Management And Insurance
Authors: James TrieschmannSandra GustavsonSandra Gustavson, Robert HoytSandra Gustavson, Robert Hoyt, David Sommer
12th Edition
0324183208, 9780324183207
