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Question
The risk premium for exposure to exchange rates is 5%, and the firm has a beta relative to exchange rates of .4. The risk premium for exposure to the consumer price index is -6%, and the firm has a beta relative to the CPI of .8. If the risk-free rate is 3%, what is the expected return on this stock?
A. .2%
B. 1.5%
C. 3.6%
D. 4%
Answer
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Related questions
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Which of the following does not approximate the performance of a buy-and-hold portfolio strategy?
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C. A value-weighted index
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Under a "passive core" portfolio management strategy, a manager would ___________.
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B. $37,500
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Q:
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Q:
The asset universe is the _____________________.
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Q:
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Q:
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Q:
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Q:
You manage a $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume the risk-free rate is 2% per quarter and the current value of the S&P 500 Index is 1,200. You want to exploit the positive alpha, but you are afraid that the stock market may fall and you want to hedge your portfolio by selling 3-month S&P 500 future contracts. The S&P contract multiplier is $250.
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D. The answer cannot be determined from the information given.