Question
Based on a single-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit sensitivity to the factor
Based on a single-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit sensitivity to the factor is 8.5%. Consider a portfolio of two securities with the following characteristics:
| SECURITY | b SENSITIVITY | PROPORTION |
| A | 4.0 | .30 |
| B | 2.6 | .70 |
According to APT, what is the portfolios equilibrium expected return?
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Enron And World Finance A Case Study In Ethics
Authors: P. Dembinski, C. Lager, A. Cornford, J. Bonvin
1st Edition
1403947635, 978-1403947635
