Question: E(R) = Rp + Bmarket(E(RM) - Rd) + Bsize (SMB) + Bvalue (HML) Assume there is no firm-specific risk. The information for each equity is

E(R) = Rp + Bmarket(E(RM) - Rd) + Bsize (SMB) +

E(R) = Rp + Bmarket(E(RM) - Rd) + Bsize (SMB) + Bvalue (HML) Assume there is no firm-specific risk. The information for each equity is presented here: bmarket bsize bvalue Equity A 1.40 0.20 0.90 Equity B 0.60 -0.20 1.40 Equity C 0.80 1.50 -0.05 The risk premiums for the three factors are 4.5%, 4%, and 3.5%, respectively. If you create a portfolio with 30% invested in A, 30% invested in B, and the remainder in C, what is the expected return of your portfolio? Assume that the risk free rate is 5%. Show your calculations clearly

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