Consider three stocks with returns that have the following two-factor structure:ri - rf = 1f1 2f2 εi, i = 1, 2, 3.The stocks have the same factor betas: β1 = 1.5 and β2 = 0.5. Factors are uncorrelated with each other and with the shocks. However, the shocks are correlated, and their correlations are given by corr(1, 2) = 0.1, corr(1, ε) = 0.2, corr(2, ε) = -0.3. All shocks have zero mean and standard deviation σ = 30%. Both factors have the same volatility of σf = 20%. Factor expected
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