Question
Consider the two-factor APT. Portfolio A has a beta of 2 on factor 1 and a beta of 1.5 on factor 2. The expected returns
Consider the two-factor APT. Portfolio A has a beta of 2 on factor 1 and a beta of 1.5 on factor 2. The expected returns on factors 1 and 2 are 16% and 10%, respectively. The expected return on portfolio A is 13%. No arbitrage opportunities exist. What is the risk-free rate of return?
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Public Finance Lessons From The Past And Effects On The Future
Authors: Miguel-Angel Galindo Martin
1st Edition
1629481491, 978-1629481494
