Question
A portfolio contains three stocks. The market value in each stock is $1,400,000, so total value of the portfolio is $4,200,000. Everyone believes: Stock r
A portfolio contains three stocks. The market value in each stock is $1,400,000, so total value of the portfolio is $4,200,000. Everyone believes:
| Stock | ri_bar | bi |
| Stock 1 | 12 % | 0,9 |
| Stock 2 | 13 % | 2,0 |
| Stock 3 | 9 % | 1,5 |
Do these expected returns and factor sensitivities represent an equilibrium situation? If they are not, what will be the equilibrium assuming that 20 % of the total value of the portfolio must be invested in stock 1?
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Financial Management
Authors: Rob Quail, Ricardo J. Rodriguez
2nd Edition
1557868441, 9781557868442
