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a) On the basis of a one-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit
a) On the basis of a one-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit sensitivity to the factor is 8.5%. Consider a portfolio of two securities with the following characteristics: Security Factor Sensitivity Proportion B 4.0 2.6 0.3 0.7 According to the APT, what is the portfolio's equilibrium expected return?
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Valuation Measuring and managing the values of companies
Authors: Mckinsey, Tim Koller, Marc Goedhart, David Wessel
5th edition
978-0470424650, 9780470889930, 470424656, 470889934, 978-047042470
