Question
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
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 R on the mean-variance frontier equals R + Bj fj j=1 (hint: B; can be interpreted as a regression coefficient and show by contradiction.)
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Financial Markets and Institutions
Authors: Anthony Saunders, Marcia Cornett
6th edition
9780077641849, 77861663, 77641841, 978-0077861667
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