Question: (b) Let rest and rAIG. be continuously compounded 1-month returns for Goldman Sachs Group (GS) and American International Group (AIG). If we construct a portfolio

(b) Let rest and rAIG. be continuously compounded 1-month returns for

(b) Let rest and rAIG. be continuously compounded 1-month returns for Goldman Sachs Group (GS) and American International Group (AIG). If we construct a portfolio using the share a ( [0, 1] for GS, the portfolio simple return is rot = Q rest + (1 -Q) . TAIG,t. True False Why

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