It is believed that three assets, A1, A2 and A3 are following a two factor model the model parameters are estimated as follows Assume E f e1 e2 e3 0 Construct a zero beta portfolio from these risky assets What is the weighting of A1, A2 and A3 in this portfolio Asset ai Bli B2i 1 0 05 1 3 2 0 07 1 ...

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It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model

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It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model parameters are estimated as follows

Bli 1Asset 12 3αι 0.05 0.07 0.09 B2i 32.5 81 3

Assume E[f] = e1 = e2 = e3 = 0

Construct a zero-beta portfolio from these risky assets. What is the weighting of A1, A2 and A3 in this portfolio?

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Mathematical Statistics with Applications in R

ISBN: 978-0124171138

2nd edition

Authors: Chris P. Tsokos, K.M. Ramachandran

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Posted Date: Sep 06, 2020 06:30 AM

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It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model

Question:

Asset ai Bli B2i 1 0.05 1 3 2 0.07 1 2.5 3 0.09 3 8 Asset ai Bli B2i 1 0.05 1 3 2 0.07 1 2.5 3 0.09 3 8

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Mathematical Statistics with Applications in R

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