frm一级求救

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1.A portfolio manager at a small hedge fund uses a two-factor model, based on gross domestic
product (GDP) and the level of housing prices (HP), to forecast the return of assets in the
portfolio over a 1-year horizon. The manager estimates that a factor portfolio for the GDP factor
has an expected return of 11% and a factor portfolio for the HP factors has an expected return of
7%. Assuming a risk-free rate of 3.5% and using this model, what would be the expected return
of an asset with a GDP factor beta of 0.7 and an HP factor beta of 1.5?
A. 10.5%
B. 14.0%
C. 18.2%
D. 21.7%

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关键词：frm一级 FRM hedge fund Portfolio Estimates

1 - calculate Risk Premium of each factor:  11 - 3.5 for GDP and 7 - 3.5 for HP
2 - expected return = rf + beta1 * rp1 + beta2 * rp2 = 3.5 + 0.7*(11-3.5) + 1.5 * (7-3.5) = 14.0