Multiple Choice
The variance of a security's return will be reduced if in a two-factor model
A) there is a negative sensitivity to an increasing factor.
B) the forecasted change in a factor is large.
C) the covariance between the two factors is large and positive.
D) there is a large random error variance.
Correct Answer:
Verified
Correct Answer:
Verified
Q12: For a one-factor model, an analyst finds
Q13: To develop the set of efficient portfolios,
Q14: Time series multiple-factor models<br>A) use variables with
Q15: In the time-series approach to estimating factor
Q16: Factor models are a return-generating process that
Q18: Sector-factor model is a special kind of
Q19: The one-factor model's sensitivity term relates to
Q20: A cross-sectional forecasting model<br>A) uses intuition and
Q21: A two factor model for the return
Q22: To find the variance between two securities