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APT Numerical Example 1 Compute the expected return on each asset using the APT, with two factors, the market and commodities. Erkr-)= 0% Er) 5%
APT Numerical Example 1 Compute the expected return on each asset using the APT, with two factors, the market and commodities. Erkr-)= 0% Er) 5% 10% 7% 5% 5% 2% Market Commodity Portfolio 1 (P1). Portfolio 2 (P2) Portfolio 3 (P3) bimbic 0 0 1 0 0 1 1 1.5 0.4 0.5 0.5 Suppose the return on P, is 10%. How could you construct an arbitrage strategy to take advantage of the mispricing
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