Two-factor model

Definition:

Usually, Fischer Black's zero-beta version of the capital asset pricing model. It may also refer to another type of model whereby expected returns are generated by any two factors.

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Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

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Portfolio opportunity set

The expected return/standard deviation pairs of all portfolios that can be constructed from a given set of assets.

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