Question
Suppose a portfolio has the following return with respect to the risk free asset and the market portfolio: r p = rf + p +
Suppose a portfolio has the following return with respect to the risk free asset and the market portfolio:
rp = rf + p + 0.7[rM - rf]
Construct a strategy using the given portfolio, the risk-free asset, and the market portfolio that can earn alpha and has 0 risk.
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Budget Tools Financial Methods In The Public Sector
Authors: Greg G. Chen, Lynne A. Weikart, Daniel W. Williams
2nd Edition
1483307700, 9781483307701
