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.)

Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
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ISBN:9780079039897
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Chapter4: Equations Of Linear Functions
Section4.6: Regression And Median-fit Lines
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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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