EOC Problems $8-1$

Question $1$ of $15$

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Problem $1-$ APT Return

The realized APT model factors in a three$-$factor model are F$1=0\mathrm{.}3,F2=0\mathrm{.}7,$ and $F3=-0\mathrm{.}9.$ Suppose that the risk$-$free rate for the month was $0\mathrm{.}04.$

$\backslash$table$[[$F$1,0\mathrm{.}3],[$F$2,0\mathrm{.}7],[$F$3,-0\mathrm{.}9]]$

A$)$ If alpha $=0\mathrm{.}12,b_1=0\mathrm{.}9,b_2=0\mathrm{.}5,$ and $b_3=0\mathrm{.}2,$ what should be the return of the portfolio?

The return should be

$\%.$ Round your answer to the nearest two decimal places.

B$)$ If alpha $=0\mathrm{.}13,b_1=1\mathrm{.}1,b_2=-0\mathrm{.}5,$ and $b_3=-0\mathrm{.}9,$ what should be the return of the portfolio?

The return should be

$\%.$ Round your answer to the nearest two decimal places.

C$)$ If alpha $=0\mathrm{.}08,b_1=-1\mathrm{.}4,b_2=0\mathrm{.}7,$ and $b_3=0\mathrm{.}3,$ what should be the return of the portfolio?

The return should be

$\%.$ Round your answer to the nearest two decimal places.

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EOC Problems $8-1$

Question $1$ of $15$