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7. On the basis of a one-factor model, consider a portfolio of two securities with the following characteristics: Factor Nonfactor Security Sensitivity Risk (o_ )

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7. On the basis of a one-factor model, consider a portfolio of two securities with the following characteristics: Factor Nonfactor Security Sensitivity Risk (o_ ) Proportion A .20 49 40 B 3.50 100 60 a. If the standard deviation of the factor is 15%, what is the factor risk of the portfolio? b. What is the nonfactor risk of the portfolio? c. What is the portfolio's standard deviation

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