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Consider a four-factor APT model with self-financing factors. The table below provides the expected return for each of the factors as well as the beta
Consider a four-factor APT model with self-financing factors. The table below provides the expected return for each of the factors as well as the beta of Stock A with each of the factors. According to this model, the Sharpe ratio of Stock A is 0.36. Calculate the volatility of Stock A. Factor Expected Return Beta for A F1 8.1% 0.73 F2 10.3% 0.40 F3 11.7% -0.27 F4 9.0% 0.95 42.84% 44.56% 39.42% 41.13% 46.27%
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