Question
You know that portfolio XYZ has: Market = 0.6, SMB = 0.3, and HML = 0.2. You also know that the risk free rate is
You know that portfolio XYZ has: Market = 0.6, SMB = 0.3, and HML = 0.2. You also know that the risk free rate is 3%, the market return is 10%, the size risk premium is 8%, and the book to market risk premium is 9%. Using the APT, what is the expected return on the portfolio?
a. 13.20% b. 8.40% c. 9.90% d. 6.90% e. 11.40%
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Corporate Financial Management
Authors: Glen Arnold, James Pickford
2nd Edition
0582821762, 978-0582821767
