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How can I construct a pure factor portfolio? If it has the base equation: Since I have four equations such as fi = Ti +

How can I construct a pure factor portfolio? If it has the base equation:image text in transcribed

Since I have four equations such as image text in transcribed

fi = Ti + Bafi+B2F, + Bigg = 0,04+51 +22+ Fs f2 = 0,03 +371 +372 +2F3 3 = 0,07 281 +372 -413 fa = 0,01 F1-F2- fi = Ti + Bafi+B2F, + Bigg = 0,04+51 +22+ Fs f2 = 0,03 +371 +372 +2F3 3 = 0,07 281 +372 -413 fa = 0,01 F1-F2

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