PDF 2022B.pdf - Foxit PhantomPDF Express for HP O X HOME COMMENT VIEW FORM PROTECT SHARE HELP ra Find D FILE EDIT Hand Image Link Select * Bookmark 19 File Attachment Arrange Zoom Video & Audio Tools Insert Arrange Start 2022B.pdf X 10. Suppose that there are two assets, A and B, and their returns are derived by the two-factor Pages model below: Ri = a; + bill + bzil2 + &i The first factor has an expected rate of return of |1=15% and a standard deviation o1=3%. The 4 second factor has an expected rate of return of 12=24% and a standard deviation 02=10%. The LERESTER returns between the two factors and the returns between the idiosyncratic component of each asset and each factor are uncorrelated. The risk-free rate of return is RF = 4%. The table below summarises the coefficients a;, b1i, b2; and the standard deviation of; of the error term &; for each asset: 5 WERESTER 2 ai bri bzi Asset A 0.5% 0.5 0.5 22% Asset B 2.0% -0.2 1.2 13% 6 v