22. Assume that the CAPM holds and that returns are generated by a two-factor model. You are...

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22. Assume that the CAPM holds and that returns are generated by a two-factor model. You are given the following information:

O'l, = 324 b'lI = .8 bill = 1.0 COV(1'1, TM) = 156 bA2 = 1.1 bUl = .7 COV(J';, TM) =500

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Investments

ISBN: 9788120321014

6th Edition

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

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