f an investors holds a diversified portfolio which has risk exposures to the market portfolio,...
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f an investors holds a diversified portfolio which has risk exposures to the market portfolio, the size factor portfolio and the value factor portfolio. Betas and the risk premium of the factor portfolios are shown in the table below:
Factor
Beta
Factor Risk Premium
Market
0.8
8%
Size
1.2
4%
Value
0.5
9%
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