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Quant版 - 菜鸟问一个two-factor model的homework问题。
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1 (共1页)
j*******d
发帖数: 14
1
Assume that the returns of individual securities are generated by the
following two-factor model:
Rit = E(Rit) + (Betai1)f1t + (Betai2)f2t
where Rit is the return for security i at time t, and f1t and f2t are two
factors with zero expectation and zero correlation between them. In
addition, assume that there is a capital market with four securities,
where each one has the following characteristics:
Security beta1 beta2 E(Rit)
1 1.0 2.0 20%
2
j*******d
发帖数: 14
2
Please Compute the expected return and beta1p
coefficient for this portfolio.
x**y
发帖数: 10012
3
correlation coeffient?
不然怎么hedge

【在 j*******d 的大作中提到】
: Assume that the returns of individual securities are generated by the
: following two-factor model:
: Rit = E(Rit) + (Betai1)f1t + (Betai2)f2t
: where Rit is the return for security i at time t, and f1t and f2t are two
: factors with zero expectation and zero correlation between them. In
: addition, assume that there is a capital market with four securities,
: where each one has the following characteristics:
: Security beta1 beta2 E(Rit)
: 1 1.0 2.0 20%
: 2

h**********k
发帖数: 168
4
f1t and f2t corr is 0.

【在 x**y 的大作中提到】
: correlation coeffient?
: 不然怎么hedge

1 (共1页)
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相关话题的讨论汇总
话题: rit话题: f1t话题: f2t话题: assume话题: two