Question
Assuming a two-factor APT world where the systematic risks are GDP risk and Oil risk, risk-free rate is 2%. Assume there exists GDP and Oil
Assuming a two-factor APT world where the systematic risks are GDP risk and Oil risk, risk-free rate is 2%. Assume there exists GDP and Oil factor portfolios that are tradable. If a trader estimates the expected return of Portfolio ABC to be 17.0%, the alpha of Portfolio ABC is
Portfolio ABC. Factor Loading. Risk Premium GDP. .08 5% Oil 1.5. 7%
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Finance For Executives Managing For Value Creation
Authors: Gabriel Hawawini, Claude Viallet
7th Edition
1473778913, 978-1473778917
