Form the equal-weighted portfolio of the stocks in problem 1. (a) Compute i , 1 and

Question:

Form the equal-weighted portfolio of the stocks in problem 1.

(a) Compute β_i ,₁ and β_i ,₂ for the portfolio.

(b) Compute the expected return of the portfolio.

(c) Compute the portfolio’s risk premium.

Data from problem 1

Consider the following APT model:

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Suppose that the riskless rate R_f= 5%, and we have the following data for
three stocks.

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Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

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Question Posted: Mar 03, 2024 02:00 AM

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Form the equal-weighted portfolio of the stocks in problem 1. (a) Compute i , 1 and

Question:

E(Ri) - Rf=yBi,1 + 12Bi,2. (7.15)

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Investment Valuation And Asset Pricing Models And Methods

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