In a Portfolio of Risky Assets the Response to a Factor

question 27

Multiple Choice

In a portfolio of risky assets the response to a factor, F_i, can easily be determined by:

• A) summing the weighted \(\beta\)_is and multiplying by the innovation in F_i.
• B) summing the F_is.
• C) adding the average weighted expected returns.
• D) Summing the weighted random errors.