What must be the risk-free rate

Reference no: EM133660615

Problem: Practice

Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 0.5 and 1.5, respectively. The expected returns on portfolios A and B are 12% and 24%, respectively. Assuming no arbitrage opportunities exist, what must be the risk-free rate?

Reference no: EM133660615

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