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Consider a single factor model of returns where the residuals (epsilons) are uncorrelated across assets. Suppose you have 4 stocks with residual variances 0.01, 0.02,

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Consider a single factor model of returns where the residuals (epsilons) are uncorrelated across assets. Suppose you have 4 stocks with residual variances 0.01, 0.02, 0.03, 0.04. If you form an equal-weight portfolio of these 4 assets, what is the variance of your the residual of the portfolio

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