You are testing the no-arbitrage principle of the APT, and you find a well-diversified portfolio with a
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You are testing the no-arbitrage principle of the APT, and you find a well-diversified portfolio with a β of 0.9 with respect to the market portfolio, M. You also have a risk-free asset, rf. Create a mimicking portfolio and show that it’s beta is also 0.9.
Related Book For
Business Statistics A First Course
ISBN: 978-0321979018
7th edition
Authors: David M. Levine, Kathryn A. Szabat, David F. Stephan
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