Solved

Consider the One-Factor APT

Question 61

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%
E) none of these

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q56: Consider the multifactor APT with two factors.Stock

Q57: The Security Characteristic Line (SCL)<br>A) plots the

Q58: According to the index model,covariances among security

Q60: The exploitation of security mispricing in such

Q62: Consider the single factor APT.Portfolios A and

Q63: In terms of the risk/return relationship<br>A) only

Q64: Consider the multifactor APT.There are two

Q65: The _ provides an unequivocal statement on

Q66: Assume that stock market returns do not

Q79: Discuss the similarities and the differences between