1615数学困难derivationlong
Signed-Factor Covariance Entry 2
题目
Under a one-factor model X = bF + epsilon with factor variance 5, asset loadings (2, -1), and idiosyncratic variances (1, 4), 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)