So I have excess returns, all the coefficients needed (hi, bi, si), as well as the risk free rate, SMB number, and HML number. I have 39 companies (and I have their returns and standard deviations). These 39 need to be in a portfolio, and I'm supposed to find out how the portfolio weight of each company. Also Its factor sensitivity to HML is at least 0.48. Its factor sensitivity to SMB is at least 0.02. Its factor sensitivity to the broad market is equal to 1. It is risk-efficient, that is, it has minimal risk coming from firm-specific events How the hell do I do this????? I've been googling around forever. It seems like I actually don't need to do any of the regressions because I already have all the information that I need from them. ANY help would be amazing
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