Repeat Problem 6, assuming now that firms B and C are in the same industry. Problem 6

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Repeat Problem 6, assuming now that firms B and C are in the same industry.
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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Modern Portfolio Theory and Investment Analysis

ISBN: 978-1118469941

9th edition

Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann

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