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

question 27

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 1 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:

Sandstone Beds

Layers of sedimentary rock predominantly composed of sand-sized particles, often used as aquifers and in construction materials.

Marine Shales

Marine shales are fine-grained sedimentary rocks formed from the accumulation of silt and clay in a marine environment, known for their rich organic material content.

Turbidity Currents

An underwater current of usually rapidly moving, sediment-laden water moving down a slope, caused by the increased density due to sediments.

Bedding

Layers or beds of varying thickness and character, generally in a sediment or sedimentary rock.