Question: Given the information below from a well-specified factor model RA = 0.025+ BA,1Fi + BA,2F2 +eA RB = 0.025 + BB,1 Fi + BB,2 F2

Given the information below from a well-specified factor model RA =

Given the information below from a well-specified factor model RA = 0.025+ BA,1Fi + BA,2F2 +eA RB = 0.025 + BB,1 Fi + BB,2 F2 +eb with B1,1 = 1; B1,2 = 0; BB,1 = 0; BB,2 = 1; 0 = 0.5; 074 = 0.25; 0 F1,F3 = -0.25 The covariance between RA and Rbis: A) 1 B) O C) 5 D) 25 E) -0.25

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