To calculate the zero-factor from a multiple-factor model developed portfolio, the resulting zero-factor
A) will be 0.
B) is a weighted average based on the factor covariances.
C) is a weighted average based on the security proportions.
D) is not included.

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The Answer of To calculate the zero-factor from a multiple-factor model developed portfolio, the resulting zero-factor
A) will be 0.
B) is a weighted average based on the factor covariances.
C) is a weighted average based on the security proportions.
D) is not included.

To Calculate the Zero-Factor from a Multiple-Factor Model Developed Portfolio