Question: - Security A B i 2 3 i1 0.8 1.1 i2 0.9 1.3 ci 2.0 1 Assuming I s are uncorrelated and I 1 =8;

- Security A B

i 2 3

i1 0.8 1.1

i2 0.9 1.3

ci 2.0 1

Assuming Is are uncorrelated and I1=8; I2=4 and I1=2; I2=2,5 calculate the following using the general multi-index model:

(1) Expected returns

(2) Variance of return

(3) Covariance of return

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