【正文】 %C.45.I and IV are correct.C.44.that contains all securities in proportion to their market values.C.43.one that contains securities from at least three different industry sectors.C.42.infinity.C.41.risk arbitrage.C.40. APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium。CAPM assumes many small changes are required to bring the market back to equilibrium。An important difference between CAPM and APT issell B short and buy A.D.Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willthat risk need not be considered.D.Advantage(s) of the APT is(are)inflation rates.D.The following factors might affect stock returns:only nonsystematic risk is related to expected returns.D.In terms of the risk/return relationship in the APTsuperior measurement of the riskfree rate of return over historical time periodsD.The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.recognizes multiple unsystematic risk factorsD.The APT differs from the CAPM because the APT _________.a riskfree arbitrageD.An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.the opportunity set is not tangent to the capital allocation lineD.A zeroinvestment portfolio with a positive expected return arises when _________.5%D.Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.5%D.Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.Consider the multifactor APT. There are two independent economic factors, F1and F2. The riskfree rate of return is 6%. The following information is available about two welldiversified portfolios:A and B。B。If you wanted to take advantage of a riskfree arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.%D.If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.%D.If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.%D.If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate. economic growth may be strong, moderate, or weak. The returns for the uping year on stocks A, B, and C for each of these states of nature are given below:E.A.E.A.%E.A.$2,000E.A.%E.A.%E.A.%E.A.E.A.E.A.%E.A. BE. BC.A.A。B。A。 CAPM APTD. CAPMB.12.firmspecific factors.C.11.capital asset pricingC.10.marketC.9.Modigliani and MillerC.8.small negativeC.7.The multifactor APTC.6.firmspecific riskC.5.firmspecific riskC.4.factor sensitivitiesC.3.3%C.2.CAPM stipulatesC.1.Multiple Choice QuestionsAPT stipulatesB.No pricing model has found%B.%systemic riskB.both factor sensitivities and factor betassystemic riskB.unique risksystemic riskB.unique riskThe CAPMB.No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfoliosmall positiveB.large negativeLintnerB.FamafactorB.factor, market, and indexarbitrageB.technical analysisa mon macroeconomic factor.B.both mon macroeconomic factors and firmspecific factors.APT。CAPM。APT and OPM。A. BC. BE.Consider the single factor APT. Portfolio A has a beta of and an expected return of 13%. Portfolio B has a beta of and an expected return of 15%. The riskfree rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A。B。Consider the onefactor APT. The variance of returns on the factor portfolio is 6%. The beta of a welldiversified portfolio on the factor is . The variance of returns on the welldiversified portfolio is approximately __________.%D.Consider the onefactor APT. The standard deviation of returns on a welldiversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the welldiversified portfolio is approximately __________.D.Consider the singlefactor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The riskfree rate of return is 6%. Stock B has a beta of . If arbitrage opportunities are ruled out, stock A has a beta of __________.D.Consider the multifactor APT with two factors. Stock A has an expected return of %, a beta of on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The riskfree rate of return is 6%. What is the riskpremium on factor 2 if no arbitrage opportunities exit?4%D.Consider the multifactor model APT with two factors. Portfolio A has a beta of on factor 1 and a beta of on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The riskfree rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.%D.Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of on factor 1, and a beta of on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the riskfree rate of return is ___________.%D.Consider a onefactor economy. Portfolio A has a beta of on the factor and portfolio B