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中文题目A portfolio has alpha 0.01, market beta 1.1 with market factor move 0.02, value exposure 0.4 with value-factor move -0.01, and size exposure 0.3 with size-factor move 0.015. What return does this linear factor model attribute to the portfolio?
打开 →A portfolio has alpha 0.005, market beta 0.9 with market factor move 0.015, value exposure -0.2 with value-factor move 0.01, and size exposure 0.2 with size-factor move 0.012. What return does this linear factor model attribute to the portfolio?
打开 →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?
打开 →A portfolio has alpha 0.009, market beta 1 with market factor move 0.017, value exposure -0.4 with value-factor move 0.008, and size exposure 0.25 with size-factor move 0.014. What return does this linear factor model attribute to the portfolio?
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