6. On the basis ofa one-factor model, consider a security with a zero-factor value of 4% and...

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6. On the basis ofa one-factor model, consider a security with a zero-factor value of 4% and a sensitivity to the factor of .50. The factor takes on a value of 10%. The security generates a return of 11%. What portion of the return is related to nonfactor elements?

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Investments

ISBN: 9788120321014

6th Edition

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

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