Assume That the Single Factor APT Model Applies and a Portfolio

question 38

Multiple Choice

Assume that the single factor APT model applies and a portfolio exists such that 1/2 of the funds are invested in Security Q and the rest in the risk-free asset. Security Q has a beta of 1.8. The portfolio has a beta of:

• A) 0.0.
• B) 0.8.
• C) 0.9.
• D) 1.0.
• E) 1.8.

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