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Consider two well-diversified portfolios A and B that conform to a two-factor model (the two shocks to factors, F1,t and F2,t, have zero means), that

Consider two well-diversified portfolios A and B that conform to a two-factor model (the two shocks to factors, F1,t and F2,t, have zero means), that is, their alphas are equal to zero, and the risk-f...

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