3. Assume that all assumptions Of the single-index model hold, except that the covari- ance between residuals
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3. Assume that all assumptions Of the single-index model hold, except that the covari-
ance between residuals is a constant K instead of zero. Derive the covariance between the two securities and the variance on a portfolio.
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Related Book For 
Modern Portfolio Theory And Investment Analysis
ISBN: 9780471007432
5th Edition
Authors: Edwin J. Elton, Martin Jay Gruber
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