Prove that the portfolio-weighted average of a securitys sensitivity to a particular factor is the same as
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Prove that the portfolio-weighted average of a security’s sensitivity to a particular factor is the same as the covariance between the return of the portfolio and the factor divided by the variance of the factor if the factors are uncorrelated with each other.
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Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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