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If the maximum Sharpe ratio of your portfolio increased from 0 . 3 to 0 . 5 5 when adding an investment opportunity with a

If the maximum Sharpe ratio of your portfolio increased from

0.3

0.55

when adding an investment opportunity with a positive

-

alpha of

3 %,

what must have been the idiosyncratic volatility of this investment opportunity relative to your initial

portfolio?

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