Solution-Find a portfolio of l and m that is riskfree

Find a portfolio of l and m that is riskfree

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Reference no: EM132752710

In a single-factor APT,there are two widely diversified portfolios, L and M. Factor loadings are b L > 0 and b M > 0, both different from each other. Intercepts are a L and a M . There is a riskfree bond with riskfree rate r g . Which of the following statements is true?

(A) We can always find a portfolio of L and M that is riskfree, with both portfolio weights positive.

(B) We can always find a portfolio of L and M that is riskfree, with both portfolio weights negative.

(D) We can always find a portfolio of L and M that is riskfree, and the portfolio weights may be both positive or both negative or mixed.

(E) We can not always find a portfolio of L and M that is riskfree.

Reference no: EM132752710

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Find a portfolio of l and m that is riskfree

Reference no: EM132752710

Reference no: EM132752710

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