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If the covariance between the excess return of stock X and the market excess return is 0.03, the standard deviation of the market excess return
If the covariance between the excess return of stock X and the market excess return is 0.03, the standard deviation of the market excess return is 0.15, and the standard deviation of the excess return of stock X is 0.25, what is the idiosyncratic volatility? What fraction of the total risk comes from systematic risk?
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