1)

Stock A and Stock B have the same expected return, variance and skewness. Stock A has higher kurtosis than that of Stock B. Stock B is riskier than Stock A all else being equal.

Group of answer choices

True

False

2)

In the table below, expected return and standard deviations are provided for bond and equity funds. The correlation between the funds is 0.3. What is the expected return of the portfolio if you invest 80% in the bond fund and 20% in the equity fund?

	Bond	Equity
Expected Return	5%	10%
Standard Deviation	8%	20%

Group of answer choices

2%

10%

-2%

6%

3)

We have two economic factors 1 and 2 in a two-factor APT model. We have the following data on three well-diversified portfolios.

Asset	Expected return	bi1	bi2
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?

Group of answer choices

Yes

No