:). (25%) Suppose that the returns of all isset i saatisly the infactor moles 1; = ; 1 bilib. i I..... where his and big tre factor loadings of the risk factors fi in F, respectively. Consider a portfolio 1' = !1; I- "}}"; where the assets i and i are chosen such that liit * lojtanu biz 19;2. (a) For the portfolio given in (1), what is Ex? (1) For the portfolio 1 in (1) to have to exposure to any factor risk, slow that the factor loadings bj.be, bil, and be unst satisfy LI bje bi2 -- bie for all i and j. bji - bil (c) Uuder the condition in part (b) and using the no arbitrage argument, show that there exists a constant lo such that 0;-do = ct for all i, wllere ci is a constant. his (d) Show that there exist constants 41 and 42 such that the expected return thi for any asset i satisfies Hi = 10 + A1 bil + labe. :). (25%) Suppose that the returns of all isset i saatisly the infactor moles 1; = ; 1 bilib. i I..... where his and big tre factor loadings of the risk factors fi in F, respectively. Consider a portfolio 1' = !1; I- "}}"; where the assets i and i are chosen such that liit * lojtanu biz 19;2. (a) For the portfolio given in (1), what is Ex? (1) For the portfolio 1 in (1) to have to exposure to any factor risk, slow that the factor loadings bj.be, bil, and be unst satisfy LI bje bi2 -- bie for all i and j. bji - bil (c) Uuder the condition in part (b) and using the no arbitrage argument, show that there exists a constant lo such that 0;-do = ct for all i, wllere ci is a constant. his (d) Show that there exist constants 41 and 42 such that the expected return thi for any asset i satisfies Hi = 10 + A1 bil + labe