Investments Assignment 4

Investments Assignment 4 - B ryan W. Redd Investments...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Bryan W. Redd Investments Assignment #4 Dr. Malakhov Spring 2010 BKM 7 23. β f= 0, so the risk-free rate is equal to the (E)return for Portfolio F. An arbitrage opportunity exists b/c the ratio for the risk premium to β e = 7.5% which is greater than Portfolio A=6%. Then by creating Portfolio G with =1 β , take a long position in Portfolio E, and short position in Portfolio F. β G = 1.5 × (2/3) = 1.0, the E(rG) = 11.5%, which is higher than Portfolio A (same ’s
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 07/26/2011 for the course FIN 4133 taught by Professor Hearth during the Spring '11 term at Arkansas.

Page1 / 2

Investments Assignment 4 - B ryan W. Redd Investments...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online