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It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model parameters are estimated as follows ai li Asset

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It is believed that three assets, A1, A2 and A3 are following a two-factor model. the model parameters are estimated as follows ai li Asset 1 2 3 0.05 0.07 0.09 1 1 3 2i 3 2.5 8 Assume E[f] = el = e2 = e3 = 0 Construct a zero-beta portfolio from these risky assets. What is the weighting of A1, A2 and A3 in this portfolio

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