Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. consider the following simplified apt model: facto

Consider the following simplified APT model: Factor Market Interest rate Yield spread Expected Risk Premium...

60.1K

Verified Solution

Question

Finance

image

Consider the following simplified APT model: Factor Market Interest rate Yield spread Expected Risk Premium (2) 8.2 -0.4 5.3 Stock P p2 Market (bi) 1.8 1.2 Factor Risk Exposures Interest Rate Yield Spread (2) (63) -1.3 -0.6 0 0.9 0.9 1.0 p3 0.3 Consider a portfolio with equal investments in stocks P, P2, and p3. Assume rp=3%. a. What are the factor risk exposures for the portfolio? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 3 decimal places.) Factor Risk Exposures Market (61) Interest rate (62) Yield spread (13) b. What is the portfolio's expected return? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Portfolio's expected return %

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students