a bil b ci A 2 0.8 0.9 2.0 Security B C 3 1 1.1 0.9...

 

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a bil b ci A 2 0.8 0.9 2.0 Security B C 3 1 1.1 0.9 1.3 1.1 1.0 1.5 = 2.0,12 = 2.5, calculate Assuming Is are uncorrelated and = 8, = 4, the following using the general multi-index model: (1) Expected returns (2) Variance of return (3) Covariance of return a bil b ci A 2 0.8 0.9 2.0 Security B C 3 1 1.1 0.9 1.3 1.1 1.0 1.5 = 2.0,12 = 2.5, calculate Assuming Is are uncorrelated and = 8, = 4, the following using the general multi-index model: (1) Expected returns (2) Variance of return (3) Covariance of return

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