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An index model has been estimated for Stocks A and B, with the following results: Ra=0.01 +0.8RM+eA RB=0.02 + 1.2RM+ eB OM0.20 olea) = 0.10

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An index model has been estimated for Stocks A and B, with the following results: Ra=0.01 +0.8RM+eA RB=0.02 + 1.2RM+ eB OM0.20 olea) = 0.10 c (ep) = 0.23 Which of the following assets has the highest idiosyncratic volatility? O Stock A O Stock B An equal weighted portfolio of A and B The market index (M) cannot be determined from the information provided

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