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 the above
Correct Answer:
Verified
Correct Answer:
Verified
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