there are 3 parts a S Problem 1: Risk management in...
60.1K
Verified Solution
Link Copied!
Question
Finance
there are 3 parts
a S Problem 1: Risk management in Fama French model Consider the trading strategies with the following Fama French regressions b h R1-Rf -0.370962 1.12448477 -0.005365 0.33533209 R2-Rf 0.60130805 1.01739494 0.28852002 -0.3121775 FYI: these are coming some of the momentum test portfolios excess returns you considered above a) Consider trading strategy (R Rp) + }(R2 Rj). What does this trading strategy involve? i.e. explain where it gets the money from and where it invests into. b) What would be Fama French pricing error for this strategy? c) What would be its Fama French risk factors exposures? FF a b S h a S Problem 1: Risk management in Fama French model Consider the trading strategies with the following Fama French regressions b h R1-Rf -0.370962 1.12448477 -0.005365 0.33533209 R2-Rf 0.60130805 1.01739494 0.28852002 -0.3121775 FYI: these are coming some of the momentum test portfolios excess returns you considered above a) Consider trading strategy (R Rp) + }(R2 Rj). What does this trading strategy involve? i.e. explain where it gets the money from and where it invests into. b) What would be Fama French pricing error for this strategy? c) What would be its Fama French risk factors exposures? FF a b S h
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
