Question: Consider a two-factor model, with factors E and F. A factor portfolio (i.e., a factor mimicking portfolio) for factor E has the following properties (select

Consider a two-factor model, with factors E and F. A factor

Consider a two-factor model, with factors E and F. A factor portfolio (i.e., a factor mimicking portfolio) for factor E has the following properties (select all that you think are correct): it has a beta of one on E it has a beta of zero on E it has a beta of one on F it has a beta of zero on F it is well-diversified it is not necessarily well diversified

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