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Consider the Multifactor APT

Question 18

Multiple Choice

Consider the multifactor APT.There are two independent economic factors, F1 and F2.The risk-free rate of return is 6%.The following information is available about two well-diversified portfolios: Consider the multifactor APT.There are two independent economic factors, F<sub>1</sub> and F<sub>2</sub>.The risk-free rate of return is 6%.The following information is available about two well-diversified portfolios: Assuming no arbitrage opportunities exist, the risk premium on the factor F<sub>1</sub> portfolio should be A) 3%. B) 4%. C) 5%. D) 6%. Assuming no arbitrage opportunities exist, the risk premium on the factor F1 portfolio should be


A) 3%.
B) 4%.
C) 5%.
D) 6%.

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