Question: Consider another widely diversified portfolio, N, with factor loadings b N1 = 0.4, b N2 = 1.2. Replicate N by a portfolio mix of L,

Consider another widely diversified portfolio, N, with factor loadings b N1 = 0.4, b N2 = 1.2. Replicate N by a portfolio mix of L, M and G.  


What is the equilibrium mean rate of return of portfolio N?

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