Question
Asset A has 3 units of exposure to factor 1 risk and 1 unit of exposure to factor 2 risk and has an expected return
Asset A has 3 units of exposure to factor 1 risk and 1 unit of exposure to factor 2 risk and has an expected return of 0.09. Asset B has 1 unit of exposure to factor 1 risk and 2 units of exposure to factor 2 risk and has an expected return of 0.06. The risk-free rate of interest is 0.02. The expected return on asset C which has 1 unit of exposure each to type 1 and type 2 risk is?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
