CFA Practice Question

There are 119 practice questions for this study session.

CFA Practice Question

Suppose we have one well-diversified portfolio that is sensitive to a single factor. The expected return, risk-free rate, and factor sensitivity are 0.08, 0.02, and 2, respectively. What is the factor risk premium?

A. 0.02
B. 0.03
C. 0.06
Correct Answer: B

0.08 = 0.02 + 2 x λ1

λ1 = 0.03

User Contributed Comments 0

You need to log in first to add your comment.