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In the context of a one factor APT model, you at the following three portfolios: Portfolio Expected return Factor sensitivity A 4 1.33 B 13

In the context of a one factor APT model, you at the following three portfolios:

Portfolio Expected return Factor sensitivity
A 4 1.33
B 13 1.32
C 8 0.66

You wish to construct a composite portfolio from B and C that has the same factor sensitivity as portfolio A. What would be the weight of portfolio B in your asset mix?

Enter weight as a percentage.

Hint: remember that factor sensitivity of a portfolio is a linear weighted average of the sensitivities of its components. And that all weights have to add up to 1 (100%).

The answer is 101.52.

Please show how to get to that in excel.

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