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?
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The Sterling Bonds And Fixed Income Handbook
Authors: Mark Glowrey
1st Edition
0857190423, 978-0857190420
