4. Assuming a one-factor model, consider a portfolio composed of three securities with the following factor scnsivities:

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If the proportion of security I in the portfolio is increased by .2, how must the proportions of the other two securities change if the portfolio is to maintain the same factor sensitivity?

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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Question Posted: Sep 19, 2024 02:25 PM

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4. Assuming a one-factor model, consider a portfolio composed of three securities with the following factor scnsivities:

Question:

Security 123 Factor Sensitivity 0.90 3.00 1.80

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Investments

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