An asset has a beta of 0.9. The variance of returns on a market index, cr*, is

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An asset has a beta of 0.9. The variance of returns on a market index, cr*, is 90. If the variance of returns for the asset is 120, what proportion of the asset's total risk is systematic, and what proportion is residual risk?

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Global Investments

ISBN: 978-0321527707

6th edition

Authors: Bruno Solnik, Dennis McLeavey

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Question Posted: Mar 25, 2016 06:46 AM

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An asset has a beta of 0.9. The variance of returns on a market index, cr*, is

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The total risk of the asset is 120 The sys...View the full answer

Global Investments

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