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Intro Assume that the single index model is valid. Stock A has a beta of 0.4 and a standard deviation of returns of 40%. The
Intro Assume that the single index model is valid. Stock A has a beta of 0.4 and a standard deviation of returns of 40%. The standard deviation of returns on the market portfolio is 30%. Part 1 Attempt 7/20 for 10 pts. What proportion of the total risk is due to firm-specific factors? 2+ decimals Submit Intro Suppose that the excess return for all securities can be described by a single index model: R; = dj + BiRm + e The standard deviation of the market portfolio is 18%. Data for securities A, B and Care presented in the table below: Security Bi E(Ri) ole;) A 0.7 12% 27% B 0.9 12% 15% 1.5 13% 10% Part 1 - Attempt 1/20 for 10 pts. What is the variance of returns on security B? 4+ decimals Submit Part 2 | Attempt 1/20 for 10 pts. Suppose that an investor forms a well-diversified portfolio of type A securities. What would be the variance of the portfolio's return, assuming there is an infinite number of securities with return characteristics which are identical to the characteristics of security A? 4+ decimals Intro Assume that the single index model is valid. Stock A has a beta of 0.4 and a standard deviation of returns of 40%. The standard deviation of returns on the market portfolio is 30%. Part 1 Attempt 7/20 for 10 pts. What proportion of the total risk is due to firm-specific factors? 2+ decimals Submit Intro Suppose that the excess return for all securities can be described by a single index model: R; = dj + BiRm + e The standard deviation of the market portfolio is 18%. Data for securities A, B and Care presented in the table below: Security Bi E(Ri) ole;) A 0.7 12% 27% B 0.9 12% 15% 1.5 13% 10% Part 1 - Attempt 1/20 for 10 pts. What is the variance of returns on security B? 4+ decimals Submit Part 2 | Attempt 1/20 for 10 pts. Suppose that an investor forms a well-diversified portfolio of type A securities. What would be the variance of the portfolio's return, assuming there is an infinite number of securities with return characteristics which are identical to the characteristics of security A? 4+ decimals
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