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(1) Suppose that there are two independent economic factors, F12 and F. The following are three securities:
Security X Y Z
Beta on factor 1 1.5 2.2 1
Beta on factor 2 2.0 -0.2 3
Expected return 0.35 0.27 0.40
A) Write down the factor models for securities X, Y, and Z.
B) Write down the factor model for a portfolio composed of W1 units of X, W2 units of Y, and W3 units of Z.
C) Construct a portfolio whose beta on factor one is 1 and whose beta on factor two is 0. What is its expected return?
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