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 0.19. Calculate the volatility of Stock A. Factor Expected Beta for A Return F1 5.8% 0.59 F2 4.6% 0.23 F3 9.6% -0.21 F4 5.3% 0.91 38.35% 36.82% 39.89% 41.42% O 42.95%

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