Question
Consider an APT world with one systematic risk: MARKET risk. Expected return for the market portfolio is 8% and risk-free rate is 2%. A stock
Consider an APT world with one systematic risk: MARKET risk. Expected return for the market portfolio is 8% and risk-free rate is 2%. A stock analyst estimates the following characteristics for the Portfolio ABC. Assume that the analyst estimates are correct.
| Portfolio | E(R) | Market BETA |
| ABC | 11.0% | 1.8 |
What is the NO-ARBITRAGE (i.e. in equilibrium) expected return for portfolio ABC?
| 10.0% | ||
| 10.5% | ||
| 11.0% | ||
| 12.0% | ||
| 12.8% |
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Discovering Advanced Algebra An Investigative Approach
Authors: Jerald Murdock, Ellen Kamischke, Eric Kamischke
1st edition
1559539844, 978-1604400069, 1604400064, 978-1559539845
