Question
Suppose betas of three portfolios A,B,C, are : Beta A = 0.7, Beta B = 1.5, Beta C = 1.1, and that expected returns are
Suppose betas of three portfolios A,B,C, are : Beta A = 0.7, Beta B = 1.5, Beta C = 1.1, and that expected returns are 5%,9%, and 6%, respectively. How could you construct an arbitrage portfolio (in the APT sense)? Specifically, provide weights of the three securities in the arbitrage portfolio.
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Analysis for Financial Management
Authors: Robert c. Higgins
8th edition
73041807, 73041803, 978-0073041803
