Repeat Problem 6, assuming now that firms B and C are in the same industry. Problem 6
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Problem 6
Using the data from Problem 5, assume the model is now an Industry Index Model where I1 = Im and that I2 is now an industry index. Assuming that firms A and B are in the same industry, calculate the covariance of returns.
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Related Book For
Modern Portfolio Theory and Investment Analysis
ISBN: 978-1118469941
9th edition
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
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