Question
Considering the SML under APT, which of the following is a false statement? A)Arbitrage opportunities exist if the slopes of SML of two portfolios do
Considering the SML under APT, which of the following is a false statement?
A)Arbitrage opportunities exist if the slopes of SML of two portfolios do not equal B)When choosing a different benchmark, the arbitrage strategy changes C)When choosing a different benchmark, the percentage arbitrage profit stays the same D)The slope of SML for a portfolio is the ratio of risk premium to beta of that portfolio
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
2nd Edition
0471111864, 978-0471111863
