- CFA Exams
- CFA Level I Exam
- Study Session 16. Portfolio Management (1)
- Reading 44. Using Multifactor Models
- Subject 1. Arbitrage pricing theory
CFA Practice Question
Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4%, and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?
B. 10.3%
C. 13.2%
A. 8.0%
B. 10.3%
C. 13.2%
Correct Answer: C
User Contributed Comments 1
| User | Comment |
|---|---|
| rt2007 | 6 + 1.2*4 + 0.8*3 = 13.2 |