Question
Consider the following three-index model: I1 I2 I3 st. dev. 0.17 0.10 0.24 betas 1.5 -0.9 1.0 The standard deviation of the firm specific risk
Consider the following three-index model:
| I1 | I2 | I3 | |
| st. dev. | 0.17 | 0.10 | 0.24 |
| betas | 1.5 | -0.9 | 1.0 |
The standard deviation of the firm specific risk is 0.08 (in decimal form). What is the total risk (as standard deviation) of the asset? Answer in decimal form as 0.12345)
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Advanced Financial Accounting
Authors: Richard Lewis, David Pendrill
7th Edition
0273658492, 978-0273658498
