Exhibit 92
Use the Information Below for the Following Problem(S)
Consider

question 59

Multiple Choice

Exhibit 9.2
Use the Information Below for the Following Problem(S)
Consider the three stocks, stock X, stock Y and stock Z, that have the following factor loadings (or factor betas) .
$$\begin{array} { c c c } \text { Stack } & \text { Factor 1 Londine } & \text { Factor } 2 \text { Londing } \\\hline X & - [ .55 & 1.2 \\Y & - [ .10 & 0.85 \\Z & 0.35 & 0.5\end{array}$$
The zero-beta return (??) = 3%, and the risk premia are ?? = 10%, ?? = 8%. Assume that all three stocks are currently priced at $50.
-Refer to Exhibit 9.2.Assume that you wish to create a portfolio with no net wealth invested.The portfolio that achieves this has 50% in stock X,-100% in stock Y,and 50% in stock Z.The weighted exposure to risk factor 2 for stocks X,Y,and Z are

• A) 0.50, -1.0, 0.50
• B) -0.50, 1.0, -0.50
• C) 0.60, -0.85, 0.25
• D) -0.275, 0.10, 0.175
• E) None of the above.

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Definitions:

Cross-Sectional Study

A research method that analyzes data from a population, or a representative subset, at a specific point in time.

Teaching Method

A systematic approach or strategy used by educators to facilitate learning in students, which can vary widely depending on the subject matter, student needs, and educational goals.

Experimental Study

A research method that involves the manipulation of one variable to determine if changes in one variable cause changes in another variable, conducted in a controlled environment.

Cohort Effect

Variations in the characteristics of an area of study (such as attitudes, experiences, or behaviors) that occur as a result of being born at about the same time, experiencing the same historical events, or sharing the same generational influences.