Question: Consider a four-factor APT model with self-financing factors. The table below provides the expected return for each of the factors as well as the beta

Consider a four-factor APT model with self-financing factors. The table below

Consider a four-factor APT model with self-financing factors. The table below provides the expected return for each of the factors as well as the beta of Stock A with each of the factors. According to this model, the Sharpe ratio of Stock A is 0.50. Calculate the volatility of Stock A. Factor Expected Beta for A Return F1 4.6% 0.64 F2 10.3% 0.30 F3 8.4% -0.23 F4 9.3% 0.85 25.94% O26.90% O24.97% O24.01% O 23.05%

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