18. B is correct. The expected return of Portfolio A is given by the APT equation: E(Rp) = RF +
λ1βp,1 + ... + λKβp,K
E(𝑅
𝑋) = 3% + (0.90 × 5%) + (−0.2 × −1.8%) + (1.37 × 5.8%) = 15.806%. Section 3.
LO.c.
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