Question: 9. (General tilting o) A general model for information about expected returns can be expressed in vector-matrix form as p= Pr e. In the model

9. (General tilting o) A general model for information about expected returns can be expressed in vector-matrix form as p= Pr e. In the model P is an m n matrix, F is an n-dimensional vector, and p and e are m-dimensional vectors. The vector p is a set of observation values and e is a vector of errors having zero mean. The error vector has a covariance matrix Q. The best (minimum-variance) estimate of F is =(PTo-Ip)-IpTo-'p. (9.16)

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