Construct a portfolio containing (long or short) Securities 1, 2, 3 (Do not round intermediate...
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Construct a portfolio containing (long or short) Securities 1, 2, 3 (Do not round intermediate calculations. A negative answer should be indicated by a minus sign.)
Construct a portfolio containing (long or short) Securities 1, 2, 3 with a return that construct the factor portfolio for the first risk factor. (Do not round intermediate calculations. A negative answer should be indicated by a minus sign.)
Asset returns are characterized by a 2-factor model: ri = Ti + bil fi + bi2 f2 + u, i = 1, 2, ... where the two risk factors, fi and f2, have zero mean. For three well-diversified portfolios, A, B and C, we have the following information: bi1 b_i2 r_i X 0 1 Y 0.5 0.5 -0.33 0.05 0.066 0.048 Z 0.5 Asset returns are characterized by a 2-factor model: ri = Ti + bil fi + bi2 f2 + u, i = 1, 2, ... where the two risk factors, fi and f2, have zero mean. For three well-diversified portfolios, A, B and C, we have the following information: bi1 b_i2 r_i X 0 1 Y 0.5 0.5 -0.33 0.05 0.066 0.048 Z 0.5
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