New User Special Price Expires in

Let's log you in.

Sign in with Facebook


Don't have a StudySoup account? Create one here!


Create a StudySoup account

Be part of our community, it's free to join!

Sign up with Facebook


Create your account
By creating an account you agree to StudySoup's terms and conditions and privacy policy

Already have a StudySoup account? Login here

Finl Mkts & Investment

by: Flavio Steuber

Finl Mkts & Investment FIN 380

Marketplace > University of Oregon > Finance > FIN 380 > Finl Mkts Investment
Flavio Steuber
GPA 3.66

Roberto Gutierrez

Almost Ready


These notes were just uploaded, and will be ready to view shortly.

Purchase these notes here, or revisit this page.

Either way, we'll remind you when they're ready :)

Preview These Notes for FREE

Get a free preview of these Notes, just enter your email below.

Unlock Preview
Unlock Preview

Preview these materials now for free

Why put in your email? Get access to more of this material and other relevant free materials for your school

View Preview

About this Document

Roberto Gutierrez
Class Notes
25 ?




Popular in Course

Popular in Finance

This 3 page Class Notes was uploaded by Flavio Steuber on Tuesday September 8, 2015. The Class Notes belongs to FIN 380 at University of Oregon taught by Roberto Gutierrez in Fall. Since its upload, it has received 23 views. For similar materials see /class/187162/fin-380-university-of-oregon in Finance at University of Oregon.


Reviews for Finl Mkts & Investment


Report this Material


What is Karma?


Karma is the currency of StudySoup.

You can buy or earn more Karma at anytime and redeem it for class notes, study guides, flashcards, and more!

Date Created: 09/08/15
Dr Gutierrez Arbitrage Pricing Theory FIN 380 Suppose you are given the three assets whose returns can be expressed in the following manners r1 E61 BliFl 32in 81 where EFk 0 Esi 0 COV Fk 81 0 COV F1 F2 0 IA82F13F28A rB 103F12F2 8B rC 103F15F2 8C Using the three assets construct portfolios that mimic the two factors Factor 1 l 2 2111A 3wB 3w0 0 2 3111A 2wB 5w0 lwAwBwO gt wA 271113 l7wo 4 3 3 Factor2 0 2 2111A 3wB 3w0 l 2 3111A 2wB 5w0 l wA wB 1110 gt wA 37wB 27w0 4 3 3 Dr Gutierrez Arbitrage Pricing Theory 2 FIN 380 What are the risk premia for the two factormimicking portfolios Assume riskfree rate is 5 l 4 Ema 28 E10 E10 6 gt 1 12 ErTP1 rf ErTP1 3lt8gt lt1ogt lt1ogt 4 gt 22 l ErTP1 7 Find the combination of the riskfree asset and the two factormimicking portfolios that tracks the following security rQ82Fl 06F28Q 311m 2 2 wTRlIBLTRl wTRZIBLTRZ wrf 3177 321m 2 06 wTRlIBZTRl wTR2IB2TR2 wrf zrf 1 wTRl wTR2 wrf Since the betas of these portfolios are either 1 or 0 the equations reduce to the following BLTPQ 2 wTR11 827TPQ 06 wTR21 1 wTRl wTR2 wrf 27 wrf Dr Gutierrez Arbitrage Pricing Theory FIN 380 What is the expected return on this tracking portfolio E7 TRQ 26 064 045 2 46 Is there an arbitrage opportunity Yes the expected retLun of Q is 8 while the expected retLun of the portfolio designed to track Q is only 76 You should buy Q and short the tracking portfolio


Buy Material

Are you sure you want to buy this material for

25 Karma

Buy Material

BOOM! Enjoy Your Free Notes!

We've added these Notes to your profile, click here to view them now.


You're already Subscribed!

Looks like you've already subscribed to StudySoup, you won't need to purchase another subscription to get this material. To access this material simply click 'View Full Document'

Why people love StudySoup

Jim McGreen Ohio University

"Knowing I can count on the Elite Notetaker in my class allows me to focus on what the professor is saying instead of just scribbling notes the whole time and falling behind."

Kyle Maynard Purdue

"When you're taking detailed notes and trying to help everyone else out in the class, it really helps you learn and understand the I made $280 on my first study guide!"

Steve Martinelli UC Los Angeles

"There's no way I would have passed my Organic Chemistry class this semester without the notes and study guides I got from StudySoup."

Parker Thompson 500 Startups

"It's a great way for students to improve their educational experience and it seemed like a product that everybody wants, so all the people participating are winning."

Become an Elite Notetaker and start selling your notes online!

Refund Policy


All subscriptions to StudySoup are paid in full at the time of subscribing. To change your credit card information or to cancel your subscription, go to "Edit Settings". All credit card information will be available there. If you should decide to cancel your subscription, it will continue to be valid until the next payment period, as all payments for the current period were made in advance. For special circumstances, please email


StudySoup has more than 1 million course-specific study resources to help students study smarter. If you’re having trouble finding what you’re looking for, our customer support team can help you find what you need! Feel free to contact them here:

Recurring Subscriptions: If you have canceled your recurring subscription on the day of renewal and have not downloaded any documents, you may request a refund by submitting an email to

Satisfaction Guarantee: If you’re not satisfied with your subscription, you can contact us for further help. Contact must be made within 3 business days of your subscription purchase and your refund request will be subject for review.

Please Note: Refunds can never be provided more than 30 days after the initial purchase date regardless of your activity on the site.