contestada

Assuming the single-factor APT model applies, the factor beta for the market portfolio is:

a. zero.
b. one.
c. the average of the risk-free beta and the beta for the highest risk security in the portfolio.
d. impossible to calculate without collecting sample data.
e. irrelevant to the model.

Respuesta :

ebrightosagie

Answer: b. one.

Explanation:

the average of the risk-free beta and the beta for the highest risk security in the portfolio, is very hard and impossible to calculate without collecting sample data which are irrelevant to the model. If the Arbitrage pricing theory comes good, then the factor beta for the market portfolio would equal = 1

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