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Consider the return generating process of three assets X, Y, and Z. Returns are explained by two uncorrelated factors, f1,t, the consumer confidence and f2,t,

Consider the return generating process of three assets X, Y, and Z. Returns are explained by two uncorrelated factors, f1,t, the consumer confidence and f2,t, inflation: RX,t = 0.004 + f1,t - 2f2,t; R...

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