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(b) Consider two stocks (A and B), whose returns are determined by the following two-factor model: RA =0.04+0.8F1 + 0.5F2 + EA; Rp =0.06+0.7F1 +
(b) Consider two stocks (A and B), whose returns are determined by the following two-factor model: RA =0.04+0.8F1 + 0.5F2 + EA; Rp =0.06+0.7F1 + 0.3F2 + EB What is the factor model for a portfolio made up of 30% in stock A and 70% in stock B? (4 marks)
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Fundamentals Of Water Finance
Authors: Michael Curley
1st Edition
1498734170, 978-1498734172
