投资学课后习题答案Chap010.pdfVIP

CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN PROBLEM SETS 1. The revi ed e timate of the expected rate of return on the tock would be the old e timate plu the um of the product of the unexpected change in each factor time the re pective en itivity coefficient : revi ed e timate = 12% + [(1 2%) + (0.5 3%)] = 15.5%