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Suppose the following: CORR(r(A),r(M))=.45 SD(r(M))=20% SD(r(A))=15% Find the variance of the variance of Asset A's returns that is attributed to non-systematic risk. Make sure to
Suppose the following:
CORR(r(A),r(M))=.45
SD(r(M))=20%
SD(r(A))=15%
Find the variance of the variance of Asset A's returns that is attributed to non-systematic risk. Make sure to express your answers in percentage squared. Round your answers to the nearest 100th percentage point. For example, write 22.35 for 22.35%^2.
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Investments An Introduction
Authors: Herbert B. Mayo
13th Edition
0357127951, 978-0357127957
