Multiple Choice
Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be
A) 4.0%.
B) 9.0%.
C) 14.0%.
D) 16.5%.
Correct Answer:
Verified
Correct Answer:
Verified
Q2: In a multifactor APT model, the coefficients
Q3: Which of the following factors might affect
Q4: Multifactor models, such as the one constructed
Q5: Consider the single-factor APT. Stocks A and
Q6: Consider the one-factor APT. The variance of
Q7: Which of the following factors did Chen,
Q8: A _ portfolio is a well-diversified portfolio
Q9: Consider the multifactor APT. The risk premiums
Q10: Which of the following is false about
Q11: If arbitrage opportunities are to be ruled