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- Security A B i 2 3 i1 0.8 1.1 i2 0.9 1.3 ci 2.0 1 Assuming I s are uncorrelated and I 1 =8;
- Security A B
i 2 3
i1 0.8 1.1
i2 0.9 1.3
ci 2.0 1
Assuming Is are uncorrelated and I1=8; I2=4 and I1=2; I2=2,5 calculate the following using the general multi-index model:
(1) Expected returns
(2) Variance of return
(3) Covariance of return
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