Portfolio of securities, Suppose that we have a portfolio

Portfolio of securities

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Reference no: EM131576565

Suppose that we have a portfolio of securities, which are the two securities, A and B.

The unit of risk, with a sensitivity of the portfolio / securities average / expected yield is 9.0%;

A sensitivity of a security risk factor is 3.0, the coefficient B of the securities is 5.0;

A proportion of the securities in the portfolio is 20%, the share of securities B 80%;

The risk-free rate is 5.7%.

On the basis of the model by one-APT, please find the securities of A and B, a portfolio expected return?

Reference no: EM131576565

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