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What rates of return rational investors using APT model would demand on security P and G given the following information? Portfolio Portfolio Return Correlation with
What rates of return rational investors using APT model would demand on security P and G given the following information?
Portfolio | Portfolio Return | Correlation with | |
Factor 1 | Factor 2 | ||
A | 13% | 0.29 | 0.93 |
B | 22% | 0.78 | 0.53 |
C | 9% | 0.18 | 0.15 |
D | 18% | 0.57 | 0.82 |
E | 1% | 0.00 | 0.11 |
F | 3% | 0.00 | 0.00 |
Z | 11% | 0.91 | 0.00 |
Security | Beta | Beta | |
P | 1.19 | .75 | |
G | 1.59 | 1.11 |
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