An investment firm, FINC3330, uses the Fama-French three factor model. The risk-free rate equals 39. Factors Market Factor Exposures 1.2 0.39 Size (SMB) Value (HML) Factor Risk Premiums 0.05 0.015 0.08 0.8 The expected excess return for its portfolio from the above result would be portfolio would be 46. (Note: Round to the nearest hundredth.) 96 and the expected return on the Greg Smith manages a portfolio of two investments: long-term corporate bond and large capitalization stock. Of the portfolio's current stock make up 30%. The correlation between bond and stock in Smith's portfolio is -0.15. Smith has estimated a VaR (9996) of 2.0%, or 3.36 MM, for the corporate bond position and 1.5% or $11.33 MM for the large capitalization stock position. The portfolio VaR (999) on a dollar basis is 11.32 MM 10.92 MM O 15.42 MM O 13.83 MM