微信扫一扫
实时资讯全掌握
|
Assume you are attempting to estimate the equilibrium expected return for a portfolio using a two-factor arbitrage pricing theory (APT) model. One factor is changes in the 30-year T-bond rate and the other factor is the percentage growth in gross national product (GNP). Assume that you have estimated the risk premium for the interest rate factor to be 0.02, and the risk premium on the GNP factor to be 0.03. The sensitivity of the portfolio to the interest rate factor is –1.2 and the portfolios sensitivity to the GNP factor is 0.80. Given a risk free rate equal to 0.03, what is the expected return for the asset? A. 5.0%. B. 2.4%. C. 3.0%. D. −3.0%. |