Suppose that a single factor apt holds the risk-free rate, Ask an Expert

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Suppose that a single factor APT holds. The risk-free rate is 4% and the expected return on a portfolio with unit sensitivity (sensitivity equal to 1) to the factor is 7%. Consider a portfolio of two securities with the following characteristics: Security A ; Sensitivity to the Factor= 0.8 and Proportion in the portofolio =0.3 Security B; Sensitivity to the Factor=1.7 and Proportion in the portofolio =0.7

According to APT, what is the portfolio's equilibrium expected return?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92712098

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