[問題] 請問一個關於asset market的問題~
最近做到一個asset market的題目，實在太難了，完全不會作，
想請教一下板上的各位強者，感謝各位!!
題目如下:
Suppose three assets are identified with their excess returns described by
R1=0.02 + 0.2 f1 + 0.8 f2 + E1
R2=-0.01 + 1.0 f1 + 1.8 f2 + E2
R1=0.03 + 0.7 f1 + 1.1 f2 + E3
where f1 and f2 are two systematic factors with zero mean and the magnitudes
of E1,E2,E3 are small.
Construct a portfolio such that its beta with respect to f1 is 0.5 and
its beta to f2 is 0.2.
What's are the portfolio weights?
What's the alpha of the portfolio?
(How to use Excel solver or regression to find the portfolio ?)
--
MBA版成立了!!
國家研究院 > 法律財經研究院 > MBA版 歡迎你!!
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 155.91.45.231
→
02/15 23:41, , 1F
02/15 23:41, 1F
→
02/18 20:52, , 2F
02/18 20:52, 2F
CFAiafeFSA 近期熱門文章
PTT職涯區 即時熱門文章