Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1,..., fk is an excess return. Show that each return on the mean-variance frontier equals k R; + ,fj. j=1 (hint: B; can be interpreted as a regression coefficient.) Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1,..., fk is an excess return. Show that each return on the mean-variance frontier equals k R; + ,fj. j=1 (hint: B; can be interpreted as a regression coefficient.)