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mutliple choice questions Suppose that using an APT model with three-factors, you find that there is a well-diversified trading strategy that has a positive alpha

mutliple choice questions

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Suppose that using an APT model with three-factors, you find that there is a well-diversified trading strategy that has a positive alpha based on historical data. Which of the following is a possible explanation? Your model does have all the relevant risk factors The risk premium of one of the factor portfolios is zero This is just data mining. There is no reason to expect the alpha to persist going forward. An arbitrage opportunity exists

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