13. With a five-factor model (assuming uncorrelated factors) and a 30-stock portfolio, how many parameters must be

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13. With a five-factor model (assuming uncorrelated factors) and a 30-stock portfolio, how many parameters must be estimated to calculate the expected return and standard deviation of the portfolio? How many additional parameter estimates are required if the factors are correlated?

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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