Given the multi-index model Where I*1 and I*2 are correlated, and given the regression equation I*2 =
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Where I*1 and I*2 are correlated, and given the regression equation I*2 = 1 + 1.3I1 + dt, transform the equation for Ri into one with orthogonal indexes.
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Ri = 2 + 1.14"+1.21: + C:
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Related Book For
Modern Portfolio Theory and Investment Analysis
ISBN: 978-1118469941
9th edition
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
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