Question: It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model parameters are estimated as follows ai li Asset

It is believed that three assets, A1, A2 and A3 are

It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model parameters are estimated as follows ai li Asset 1 2 3 0.05 0.07 0.09 1 1 3 2i 3 2.5 8 Assume E[f] = el = e2 = e3 = 0 Construct a zero-beta portfolio from these risky assets. What is the weighting of A1, A2 and A3 in this portfolio

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