In: Economics
π = inflation and GDP = GDP growth
RBAH=9.2+0.2Fπ+ 0.8FGDP+ϵ
RFIVN=11.6-0.6Fπ+ 1.8 FGDP+ϵ
RSP500=8.8-1.2 Fπ+ 1.6 FGDP+ϵ
E(R ) |
S |
|
BAH |
8% |
10% |
FIVN |
14% |
16% |
SSNC |
11% |
11.78% |
Corr (Bah,FIVN) = 0.4
Does an arbitrage opportunity exist?
Please include work
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