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Stock prices are determined by a 2 factor APT model. You have 3 investments available to you: Portfolio Expected Excess Return Beta 1 Beta 2
Stock prices are determined by a 2 factor APT model. You have 3 investments available to you:
| Portfolio | Expected Excess Return | Beta 1 | Beta 2 |
| A | 4.9% | 1 | 0 |
| B | 4.0% | 0 | 1 |
| C | 4.9% | 0.5 | 0.5 |
What would the expected excess return be on an arbitrage portfolio, given this information?
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Financial Management for Public Health and Not for Profit Organizations
Authors: Steven A. Finkler, Thad Calabrese
4th edition
