For a one factor model, the slope for Security X is 4, and the slope for Security Y is 5. The factor has a standard deviation of 3%. The covariance between Securities X and Y is
A) 90.
B) 180.
C) 120.
D) 60.
Correct Answer:
Verified
Q21: A cross-sectional forecasting model
A) uses intuition and
Q22: To develop the set of efficient portfolios,
Q23: To calculate the zero-factor from a multiple-factor
Q24: In an efficient portfolio, increased diversification results
Q25: Multiple-factor models assume that several factors are
Q27: A multiple-factor model requires the development of
Q28: Time series multiple-factor models
A) use variables with
Q29: For a one-factor model, an analyst finds
Q30: A choice that is not a major
Q31: For a 10-factor model, the analyst must
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents