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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.)

Let us define a 4th well-diversified portfolio G with G1 = 1.0 and G2= 0.5 and return of 14.0%. Construct a portfolio with zero initial investment, no risk of losing money, and next-period payoff of $100.

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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