Multiple Choice
Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of
A) 0.45.
B) 1.00.
C) 1.10.
D) 1.22.
E) None of the options are corrct.
Correct Answer:
Verified
Correct Answer:
Verified
Q1: Consider the one-factor APT. Assume that two
Q8: A _ portfolio is a well-diversified portfolio
Q10: Consider the single-factor APT. Stocks A and
Q12: <sup> </sup>A zero-investment portfolio with a positive
Q13: <sup> </sup>The feature of the APT that
Q16: Consider the single factor APT. Portfolio A
Q19: <sup> </sup>In developing the APT, Ross assumed
Q40: In the APT model, what is the
Q61: Consider the multifactor model APT with three
Q74: An arbitrage opportunity exists if an investor