6. You are shorting a negative alpha portfolio o orting a negative alpha portfolio of 100 stocks. The market beta of the o 1.2. The average Roll and Amilhud measure of the stocks in the portfolio are 0.8% and 0.2%. You also intend to make your position market-neutral by trading in an S&P 500 ETF with Roll measure of 0.05 and Amihud measure of 0.001. Compute assuming you intend to buy each stock in the portfolio for $5 million. your two-way trading cost (as a percentage of your investment in the portfolio) 6. You are shorting a negative alpha portfolio o orting a negative alpha portfolio of 100 stocks. The market beta of the o 1.2. The average Roll and Amilhud measure of the stocks in the portfolio are 0.8% and 0.2%. You also intend to make your position market-neutral by trading in an S&P 500 ETF with Roll measure of 0.05 and Amihud measure of 0.001. Compute assuming you intend to buy each stock in the portfolio for $5 million. your two-way trading cost (as a percentage of your investment in the portfolio)