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Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, ..., fk is an excess return. Show that each return Ř on the mean- variance frontier equals k R; + Σß;fi. j=1 (hint: B; can be interpreted as a regression coefficient.)

Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, ..., fk is an excess return. Show that each return Ř on the mean- variance frontier equals k R; + Σß;fi. j=1 (hint: B; can be interpreted as a regression coefficient.)

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, .., fk is an excess return. Show that each return R on the mean- variance frontier equals k R; + EB;fi. j=1 (hint: B; can be interpreted as a regression coefficient.)
Transcribed Image Text:Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, .., fk is an excess return. Show that each return R on the mean- variance frontier equals k R; + EB;fi. j=1 (hint: B; can be interpreted as a regression coefficient.)
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