Question
Given the following factors answer the following questions Betas for portfolio MKT B1 1.5 SMB B2 -0.5 HML B3 -1.5 Factors MKT 2.50% SML 3.50%
Given the following factors answer the following questions
| Betas for portfolio | ||
| MKT | B1 | 1.5 |
| SMB | B2 | -0.5 |
| HML | B3 | -1.5 |
| Factors | |
| MKT | 2.50% |
| SML | 3.50% |
| HML | -2.10% |
9. What did the 3-factor model predict excess return for the portfolio to be?
10. If the return of the portfolio was 7% - what does that mean?
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Contemporary Quantitative Finance
Authors: Carl Chiarella, Alexander Novikov
2010th Edition
3642034780, 978-3642034787
