作者shoop (我要專心)
看板CFAiafeFSA
標題[問題] 請問一個關於asset market的問題~
時間Tue Feb 15 10:13:03 2011
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 ?)
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1F：→ shoop:嗚嗚~~都沒人會嗎? 真的好難 >_< 02/15 23:41
2F：→ bryan648:是我想得太簡單嗎@@ 這不是解聯立方程式嗎@@ 02/18 20:52