Question
Assume that there are two factors that price assets and there is an asset with no systematic risk that earns a rate of return
Assume that there are two factors that price assets and there is an asset with no systematic risk that earns a rate of return of 5%. Factor 1 has a risk premium of 5% and factor has a risk premium of 3%. A risky asset, A, has the following sensitivities: Bi1 1.5 and Bi2 = -1 What is the expected return for this asset?
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Fixed Income Analysis
Authors: Barbara S. Petitt
5th Edition
1119850541, 978-1119850540
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