Question
We have two economic factors F 1 and F 2 in a two-factor APT model. We have the following data on three well-diversified portfolios. Asset
We have two economic factors F1 and F2 in a two-factor APT model. We have the following data on three well-diversified portfolios.
| Asset | Expected return | bi1 | bi2 |
| A | 7.8% | 2 | 3 |
| B | 4.6% | -1 | 2 |
| C | 2.2% | -2 | 2 |
If the risk-free rate is 1%, is there any arbitrage opportunity in the market?
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To determine if there is an arbitrage opportunity in the market we can use the arbitrage pricing the...
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An Introduction To Statistical Methods And Data Analysis
Authors: R. Lyman Ott, Micheal T. Longnecker
7th Edition
1305269470, 978-1305465527, 1305465520, 978-1305269477
