Question: In the context of a one factor APT model, you at the following three portfolios: Portfolio Expected return Factor sensitivity A 4 1.33 B 13

In the context of a one factor APT model, you at the following three portfolios:

Portfolio	Expected return	Factor sensitivity
A	4	1.33
B	13	1.32
C	8	0.66

You wish to construct a composite portfolio from B and C that has the same factor sensitivity as portfolio A. What would be the weight of portfolio B in your asset mix?

Enter weight as a percentage.

Hint: remember that factor sensitivity of a portfolio is a linear weighted average of the sensitivities of its components. And that all weights have to add up to 1 (100%).

The answer is 101.52.

Please show how to get to that in excel.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

For the figure shown below, find the 4x4 homogeneous transformation matrices A and A for i=1, 2, 3, 4, 5 0 0 n. a, Px -1 e+c n, F = S, a, Py r. -1 a - d | b n. a. . 125 0 0 1 1 e a Yo -Can you find...

In the context of a one factor APT model, you at the following three portfolios: Portfolio Expected return Factor sensitivity A 2 1.06 B 8 1.14 C 9 0.62 You wish to construct a composite portfolio...

In the context of a one factor APT model, you at the following three portfolios: Portfolio Expected return Factor sensitivity A 14 0.56 B 4 1.19 C 9 0.58 You wish to construct a composite portfolio...

In the context of a one factor APT model, you at the following three portfolios: Portfolio Expected return Factor sensitivity A 6 0.64 B 2 1.34 C 4 0.64 You wish to construct a composite portfolio...

In the context of a one factor APT model, you at the following three portfolios: You wish to construct a composite portfolio from B and C that has the same factor sensitivity as portfolio A. What...

In the context of a one factor APT model, you are looking at the following three portfolios: Portfolio Expected return Factor sensitivity A 6 1.05 B 13 0.76 C 13 1.47 If you construct a composite...

In the context of a one factor APT model, you are looking at the following three portfolios: Portfolio Expected return Factor sensitivity 0.8 0.59 1.39 A B C 8 14 13 If you construct a composite...

In the context of a one factor APT model, you are looking at the following three portfolios: Portfolio Expected return Factor sensitivity A 9 1.07 B 6 0.78 C 10 1.24 If you construct a composite...

In the context of a one factor APT model, you are looking at the following three portfolios: Portfolio Expected return Factor sensitivity A 4 1.08 B 5 0.72 C 14 1.37 If you construct a composite...

Tyler Company reported the following expenses in its financial statements (in thousands): Year 2020 2021 2022 Lifting Costs $211 226 183 DD&A $500 450 525 REQUIRED: Using the reserve disclosure for...

Which of the following ethers would be obtained in greatest yield directly from alcohols? CH1 CH3OCCH3 CH3 CH,, CH CH20CH2CH2CH3

Outline some of the merits of qualitative data.

last two options for the multiple choice are : performance management development A construction equipment manufacturer, Roswell Corporation, is focusing on becoming a leader in sustainability in...

In the Hewlett-Packard research, discuss what options the company has if it moves away from the performance pay scheme it has previously operated.

Look up the article that is the basis for focus on research 6.1. Why do you think that some of the respondents consider that their reward strategy does not operate in practice?

In case study 6.2, what would happen if business turned down and the company made little or no gains over a pay period?