Question: 2. Using the single index regression, compute E[Rit], var (Rit), cov (Rit, Rit) and cov (Rit, Rjs). 3. Consider the special case of three

2. Using the single index regression, compute E[Rit], var (Rit), cov (Rit,

2. Using the single index regression, compute E[Rit], var (Rit), cov (Rit, Rit) and cov (Rit, Rjs). 3. Consider the special case of three assets (i matrix, , based on the single index model. = 1,2,3). Give an expression for the covariance 4. Using the expression for var (Rit), what is the proportion of the variance of the asset due to the variability in the market return and what is the proportion unexplained by variability in the market?

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