1614数学困难derivationmedium
One-Factor Covariance Entry 1
题目
Under a one-factor model X = bF + epsilon with factor variance 3, asset loadings (1, 2), and idiosyncratic variances (4, 9), what are Var(X_1), Var(X_2), and Cov(X_1, X_2)?
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你的答案
Var(X_1)
Var(X_2)
Cov(X_1, X_2)