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Assume the Single-Factor APT Model Applies and a Portfolio Exists

Question 39

Multiple Choice

Assume the single-factor APT model applies and a portfolio exists such that half of the funds are invested in risky Security Q and the rest in a risk-free asset.Security Q has a beta of 1.8.The portfolio has a factor beta of:


A) 0.
B) .8.
C) .9.
D) 1.
E) 1.8.

Correct Answer:

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