Which one of the following is NOT a condition which defines an arbitrage portfolio?
A) It is self-financing and requires no additional funds from the investor.
B) It is riskless and has no sensitivity to any factor.
C) It has a positive expected return.
D) It's beta defines the factor risk.
Correct Answer:
Verified
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Security Sensitivity
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Q29: Consider the multi-factor APT model with two-factors.
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