Question
A stock has a beta of 1.5 and volatility (standard deviation) of 50%, and the volatility (standard deviation) of the market portfolio is 20%. What
A stock has a beta of 1.5 and volatility (standard deviation) of 50%, and the volatility (standard deviation) of the market portfolio is 20%. What fraction of the stocks variance is idiosyncratic? (Assume the CAPM holds.)
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Financial Management For Public Health And Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
7th Edition
1071835335, 978-1071835333
