Excess return forecasts of zero for all other factors using, Portfolio Management

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Excess return forecasts of zero for all other factors using

Assume an excess return forecast of 5 percent per year for a value factor, excess return of -1 percent per year for a size factor, and excess return forecasts of zero for all other factors. Using the CAPMMI as a benchmark, what MMI asset has the highest alpha? What is its value?

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Portfolio Management: Excess return forecasts of zero for all other factors using

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Portfolio Management: Excess return forecasts of zero for all other factors using

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