Question: Consider a three-factor APT model with non-self-financing factors. The table below provides the expected return for each of the factors, the beta of Stock A

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

Consider a three-factor APT model with non-self-financing factors. The table below provides the expected return for each of the factors, the beta of Stock A with each of the factors, and the beta of Stock B with each of the factors. The risk- free rate is 1.9%. Use this model to estimate the expected return on a portfolio with equal investments in Stock A and Stock B. Factor Expected Return Beta for A Beta for B F1 4.0% 1.26 0.37 F2 8.4% -0.31 0.73 F3 6.1% 0.49 -0.26 6.36% 5.76% 6.06% 6.66% 5.46%

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