The risk-free asset and well-diversified portfolios and their loadings on the risk factors in the economy...

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The risk-free asset and well-diversified portfolios and their loadings on the risk factors in the economy are available as follows. The risk factors are constructed as portfolios. Zero values are given explicitly. Portfolio A B C F₁ F₂ Risk-free asset B₁ 0.8 b 1.4 1.0 0.0 0.0 B₂ 1.7 b 0.0 0.0 1.0 0.0 Assuming that portfolio B is correctly priced, what is the value of 'b'? a. 0.6 b. 0.03 C. 0.42 d. 0.04 e. None of the other answers are correct. E(r) 0.134 0.06 0.056 ? ? 0.00 The risk-free asset and well-diversified portfolios and their loadings on the risk factors in the economy are available as follows. The risk factors are constructed as portfolios. Zero values are given explicitly. Portfolio A B C F₁ F₂ Risk-free asset B₁ 0.8 b 1.4 1.0 0.0 0.0 B₂ 1.7 b 0.0 0.0 1.0 0.0 Assuming that portfolio B is correctly priced, what is the value of 'b'? a. 0.6 b. 0.03 C. 0.42 d. 0.04 e. None of the other answers are correct. E(r) 0.134 0.06 0.056 ? ? 0.00

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