Question: 1. Based on a one-factor model, consider a portfolio of two securities with the following characteristics: Security Factor-sensitivity on factor Risk(o) Proportion 49 100 40

1. Based on a one-factor model, consider a portfolio of two

1. Based on a one-factor model, consider a portfolio of two securities with the following characteristics: Security Factor-sensitivity on factor Risk(o) Proportion 49 100 40 S0 3.50 (a) If the standard deviation of the factor is 15%, what is the factor risk of the portfolio? (b) What is the non factor risk of the portfolio? (c) What is the portfolio's standard deviation? 1. Based on a one-factor model, consider a portfolio of two securities with the following characteristics: Security Factor-sensitivity on factor Risk(o) Proportion 49 100 40 S0 3.50 (a) If the standard deviation of the factor is 15%, what is the factor risk of the portfolio? (b) What is the non factor risk of the portfolio? (c) What is the portfolio's standard deviation

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