作者shoop (我要专心)
看板CFAiafeFSA
标题[问题] 请问一个关於asset market的问题~
时间Tue Feb 15 10:13:03 2011
最近做到一个asset market的题目，实在太难了，完全不会作，
想请教一下板上的各位强者，感谢各位!!
题目如下:
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 ?)
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1F：→ shoop:呜呜~~都没人会吗? 真的好难 >_< 02/15 23:41
2F：→ bryan648:是我想得太简单吗@@ 这不是解联立方程式吗@@ 02/18 20:52