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Consider a 2-factor market with two widely diversified portfolios L and M. Factor loadings are b L1 = 2, b L2 = 0.2, b M1
Consider a 2-factor market with two widely diversified portfolios L and M. Factor loadings are b L1 = 2, b L2 = 0.2, b M1 = 0.5, b M2 = 3. The two factors have standard deviations σ 1 = 3%, σ 2 = 6%. The correlation between the factors is 0.4.
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Linear Algebra A Modern Introduction
Authors: David Poole
4th edition
1285463242, 978-1285982830, 1285982835, 978-1285463247
