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Smart Beta Fund has run the Carhart multi-factor regression on the expected return of its portfolio A. Based on the following parameters, determine portfolio
Smart Beta Fund has run the Carhart multi-factor regression on the expected return of its portfolio A. Based on the following parameters, determine portfolio A's expected risk premium E(RA). (3 marks) Alpha Market Risk premium 7.5% Size 2.7% Value 3.5% Momentum 7.6% 1.3 -0.9 1.5 -0.8 3.5% Enter your answer to 3 decimal places eg if your answer is 0.4579 enter as 0.458.
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
