Construct a portfolio containing (long or short) Securities 1, 2, 3 (Do not round intermediate calculations. A negative answer should be indicated by a minus sign.)

Construct a portfolio containing (long or short) Securities 1, 2, 3 with a return that construct the factor portfolio for the first risk factor. (Do not round intermediate calculations. A negative answer should be indicated by a minus sign.)
 
 

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Asset returns are characterized by a 2-factor model: r¡ = ř¡ + b₁₁f₁ + b₁2f2 + U₁, i = 1, 2, ... where the two risk factors, fi and f2, have zero mean. For three well-diversified portfolios, A, B and C, we have the following information: Asset returns are characterized by a 2-factor model: r¡ = ř¡ + b₁₁f₁ + b₁2f2 + U₁, i = 1, 2, ... where the two risk factors, fi and f2, have zero mean. For three well-diversified portfolios, A, B and C, we have the following information:

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The portfolio will consist of the getting the long position in the stock X ... View the full answer