Multiple Choice
The two-factor model for Security X is 3% + l.5(GDP) - 2(CPI) and for Security Y is 4% + 2(GDP) - .8(CPI) . An analyst forecasts GDP at 4% and CPI at 5% with respective variances of 8% and 3%. Covariance (GDP, CPI) is .6. The covariance between Securities X and Y is
A) 25.7.
B) 28.8.
C) g.6.
D) 33.6.
Correct Answer:
Verified
Correct Answer:
Verified
Q2: The covariance between Security D and Security
Q3: Two-factor models use _ - regression analysis
Q4: Factor models are a return-generating process that
Q5: A process in which a security's return
Q6: Assume a one factor model for a
Q8: For a one-factor model, an analyst finds
Q9: Diversification leads to an averaging of _
Q10: An analyst has a two-factor model to
Q11: If a two-factor model used the growth
Q12: For a one-factor model, an analyst finds