Question
Consider an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio A has an expected return of 10% and its factor beta
Consider an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio A has an expected return of 10% and its factor beta is 1. Portfolio F has an expected return of 8% and its factor beta is 0.6. Suppose another portfolio E is well diversified with a beta of 0.8 and an expected return of 10%. Does an arbitrage opportunity exist in this case?
| A. | No | |
| B. | Yes | |
| C. | not sure | |
| D. | sometimes
|
Consider an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio A has an expected return of 10% and its factor beta is 1. Portfolio F has an expected return of 8% and its factor beta is 0.6. What is the risk-free rate in this economy?
| A. | 5.00% | |
| B. | 10.00% | |
| C. | 8.00% | |
| D. | 4.00% |
Consider an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio A has an expected return of 10% and its factor beta is 1. Portfolio F has an expected return of 8% and its factor beta is 0.6. What is the factor risk premium in this economy?
| A. | 4.00% | |
| B. | 5.00% | |
| C. | 8.00% | |
| D. | 10.00% |
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Sustainability In Energy Business And Finance Approaches And Developments In The Energy Market
Authors: Hasan Dinçer , Serhat Yüksel
1st Edition
3030940500,3030940519
