pls ans ALL

QUESTION 23

1. Consider an APT world with one systematic risk: MARKET risk. Expected return for the market portfolio is 8% and risk-free rate is 2%. A stock analyst estimates the following characteristics for the Portfolio ABC. Assume that the analyst estimates are correct.

   Portfolio	E(R)	Market BETA
   ABC	12.0%	1.8

   What is portfolio ABCs alpha?

   		-1.2%
   		-0.8%
   		0%
   		0.8%
   		1.2%

1 points

QUESTION 24

1. Refer to Q23. Assume the market portfolio is tradable and that the analyst estimates are correct. Which of the following constitutes an arbitrage (zero-net investment) strategy (if any).

   		Short sell ABC, buy Market portfolio, buy risk free rate
   		Short sell ABC, buy Market portfolio, borrow risk free rate
   		Short sell Market portfolio, buy ABC, buy risk free rate
   		Short sell Market portfolio, buy ABC, borrow risk free rate
   		None of the above constitutes an arbitrage strategy.

1 points

QUESTION 25

1. Which of the statements about the Arbitrage Pricing Theory MUST BE TRUE? [I] There is only one systematic risk, the market risk. [II] Risk factors have positive loading. [III] In equilibrium, investors cannot make profits without taking risks.

   		I only
   		II only
   		I and II only
   		II and III only
   		III only