Question
Assume both portfolios A and B are well diversified, that E ( r A ) = 12.4% and E ( r B ) = 13.2%.
| Assume both portfolios A and B are well diversified, that E(rA) = 12.4% and E(rB) = 13.2%. If the economy has only one risk factor, and A = 1 while B = 1.1, what must be the risk-free rate? (Do not round intermediate calculations. Enter your answer as a percentage rounded to 1 decimal places.) |
| Risk-free rate | % |
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Numerical Methods In Finance
Authors: René Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane
2012th Edition
3642257453, 978-3642257452
