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
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