AdvancedMultiple choice
Projecting onto a factor · Part 3 of 3
A stock’s returns on three days are and a factor’s returns are . You fit by least squares with no intercept.
Let be the matrix that maps to its fitted values. What are the eigenvalues of ?
- A1, 0 and 0
- B2, 0 and 0, since xᵀx = 2
- C1, 1 and 0
- D½, 0 and ½, from the entries of P on its diagonal
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