Maurice Tutor

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Teaching Since: May 2017
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Education

  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

Experience

  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 04 Apr 2018 My Price 7.00

APT model

Consider the following simplified APT model:

 

Factor Expected Risk Premium

Market 8.3%

Interest Rate -0.3

Yield Spread 5.4

 

Use the following information for stocks. Assume rf = 6%.

 

Stock Market (b1) Factor Risk Exposures Interest Rate (b2) Yield Spread (b3)

P 1.9 -1.2 -0.7

p^2 1.1 0 0.5

p^3 0.3 1.1 1.0

 

Consider a portfolio with equal investments in stocks p, p^2, and p^3.

 

a.) What are the factor risk exposures for the portfolio?

 

b.) what is the portfolio's expected return?

Answers

Maurice Tutor
(5)
Status NEW Posted 04 Apr 2018 06:04 PM My Price 7.00

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