Question
Consider 2 assets, and assume we believe a 1 factor APT model describes securities returns security Expected Return Betal A B Component Systematic Factor
Consider 2 assets, and assume we believe a 1 factor APT model describes securities returns security Expected Return Betal A B Component Systematic Factor EA EB 2.1% 8.4% Variance 0.0193 0.0393 0.0305 What is the variance of an equally weighted portfolio? What is the risk free rate consistent with this data? 0.4 2.2
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