We have two economic factors F 1 and F 2 in a two factor APT model We have the following data on three well diversified portfolios Asset Expected return b i1 b i2 A 7 8 2 3 B 4 6 1 2 C 2 2 2 2 If the risk free rate is 1 , is there any arbitrage opportunity in the market ...

To determine if there is an arbitrage opportunity in the market we can use the arbitrage pricing the ...

We have two economic factors F 1 and F 2 in a two-factor APT model. We have

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We have two economic factors F₁ and F₂ in a two-factor APT model. We have the following data on three well-diversified portfolios.

Asset	Expected return	b_i1	b_i2
A	7.8%	2	3
B	4.6%	-1	2
C	2.2%	-2	2

If the risk-free rate is 1%, is there any arbitrage opportunity in the market?

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An Introduction To Statistical Methods And Data Analysis

ISBN: 9781305465527

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Authors: R. Lyman Ott, Micheal T. Longnecker

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Posted Date: May 10, 2023 02:50 AM

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We have two economic factors F 1 and F 2 in a two-factor APT model. We have

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