FNCE30001 Study Guide - Final Guide: Arbitrage Pricing Theory, Arbitrage, Capital Asset Pricing Model

• School: University of Melbourne
• Department: Finance
• Course: FNCE30001
• Professor: Brown

Document Summary

Problem 1. 1 [question 3 on page 173 of bodie, et al principles of investments] Explain: it is possible that the apt is valid and the capm is not, it is possible that the capm is valid and the apt is not. Problem 1. 2 [question 23 on page 176 of bodie, et al principles of investments] Assume both portfolios a and b are well diversified. If the economy has only one factor and. Problem 1. 3 [question 25 on page 176 of bodie, et al principles of investments] If the apt is to be a useful theory, the number of systematic factors in the economy must be small. Problem 1. 4 [question 27 on page 176 of bodie, et al principles of investments] Suppose two factors are identified for the australian economy: the growth rate of industrial production, ip, and the inflation rate, ir. Ip is expected to be 4% and ir, 6%.