am. 103 Given the following three assets, determine whether an arbitrage opportunity exists according to the arbitrage pricing theory. If so, please calculate the excess return of the arbitrageportfolio; if there is no arbitrage opportunity, please enter zero as your answer. (Assume the weight in B is standardized to 1 or -1 depending on the position)Answers must be entered with 2 decimal places and no percent signs, e.g. 6 as 6.00; 32.346 as 32.35.AssetE(r) (%)Weights10ABC15जBeta1.01.320.0The arbitrage excess return is%.

Name: am. 103 Given the following three assets, determine whether an arbitra
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Description: am. 103 Given the following three assets, determine whether an arbitrage opportunity exists according to the arbitrage pricing theory. If so, please calculate the excess return of the arbitrageportfolio; if there is no arbitrage opportunity, please e

In the given assets, you first need to check the beta. Beta is the measure of systematic risk. For…

Answered: The arbitrage excess return is %.

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The arbitrage excess return is %.

Principles of Accounting Volume 2

19th Edition

ISBN:9781947172609

Author:OpenStax

Publisher:OpenStax

Chapter11: Capital Budgeting Decisions

Section: Chapter Questions

Problem 14MC: This calculation determines profitability or growth potential of an investment, expressed as a...

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