Question: Urgently provide the solution for below You are given the following data for two risk factors (1 and 2) and three securities (X and Y
Urgently provide the solution for below
You are given the following data for two risk factors (1 and 2) and three securities (X and Y and Z):
| l0 | 0.16 |
| l1 | 0.08 |
| l2 | 0.11 |
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|
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| bX1 | 1.4 |
| bX2 | 0.9 |
| bY1 | 0.85 |
| bY2 | 0.72 |
| bz1 | 0.54 |
| bz2 | 0.43 |
Now answer the following questions:
Based on the APT model, compute the expected return for X,y,z
Also calculate the expected price of x y z one year from now given that X, Y and Z are all currently priced at 42 and will not pay a dividend in current year.
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