2)/2) BUT AND EXPECTED RETURN OF 17

1. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK
CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK

1.0 ((0.8 + 1.2)/2) but and expected return of 17.0% ((15% + 19%)/2). An arbitrage portfolio

can be created by selling short portfolio B and purchasing an equally weighted (50/50)

portfolio of A and C, to give a net return of 17-16 = 1.0%. Section 3. LO.b.