5309金融与交易中等数值题short
Three-Factor Return Attribution 4
题目
A portfolio has alpha 0.008, market beta 0.7 with market factor move 0.01, value exposure 0.3 with value-factor move 0.005, and size exposure -0.1 with size-factor move 0.011. What return does this linear factor model attribute to the portfolio?
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