Question
Suppose that all idiosyncratic errors are correlated with correlation coefficient = 1 in APT. In this case, we could not say that idiosyncratic risk can
Suppose that all idiosyncratic errors are correlated with correlation coefficient = 1 in APT. In this case, we could not say that idiosyncratic risk can be diversified away by investing in a well-diversified portfolio.
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Foundations Of Financial Markets And Institutions
Authors: Franco Modigliani, Frank J. Jones, Michael G. Ferri, Frank J. Fabozzi
3rd Edition
0130180793, 978-0130180797
