- Return Of 35 And A Risk O Of 65 What Is The Specific Risk Of This 3 On A Market Stocks Returns Are Explained By Tw 1 (1.09 MiB) Viewed 45 times
return of 35% and a risk (o) of 65%. What is the specific risk of this 3. On a market stocks returns are explained by tw
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return of 35% and a risk (o) of 65%. What is the specific risk of this 3. On a market stocks returns are explained by tw
return of 35% and a risk (o) of 65%. What is the specific risk of this 3. On a market stocks returns are explained by two factors F1 and F2: Ri= ai + Bil F1 + ßi2 F2 + ei Portofolios Stock A, B and C are perfectly diversified and have the following characteristics: Expected return Bil Bi2 A 11.125 1 0.5 B 10.5 0.5 1 C 8 0.3 0.6 Another stock D has a return of 12% and a sensitivity to these factors of 0,7 and 0,65 respectively. a. Compute the risk premiums of these factors. b. Use A,B and C to construct a portfolio with the same level of risk as stock D. c. what is the possible arbitrage gain of an investor who buys shares of D in value of 100000$?