Consider a factor model r = E(r.) + Bif + There are two portfolios A and B and a risk free asset in the market. The beta of Ais BA = 1.1, with expected return va = 9.2%. The beta of Bis BB = 3.3, with expected return Me = 7.2%. The risk free rate is r; = 1.1%. Construct a strategy that generates immediate cash flow $100 today, and $0 at the end of the period. (a) The amount you should invest in A today (negative number means short selling) is: -1666.4835 $ X (b) The amount you should invest in B today (negative number means short selling) is: 555.4945 $ X (c) The amount you should invest in risk free asset today is (negative number means short selling): 1210.989011 $ X Consider a factor model r = E(r.) + Bif + There are two portfolios A and B and a risk free asset in the market. The beta of Ais BA = 1.1, with expected return va = 9.2%. The beta of Bis BB = 3.3, with expected return Me = 7.2%. The risk free rate is r; = 1.1%. Construct a strategy that generates immediate cash flow $100 today, and $0 at the end of the period. (a) The amount you should invest in A today (negative number means short selling) is: -1666.4835 $ X (b) The amount you should invest in B today (negative number means short selling) is: 555.4945 $ X (c) The amount you should invest in risk free asset today is (negative number means short selling): 1210.989011 $ X