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The variance of the market portfolio = 0.05. The vector of market betas for three securities is 0.8 b= 1.5 0.6 The residual variances of

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The variance of the market portfolio = 0.05. The vector of market betas for three securities is 0.8 b= 1.5 0.6 The residual variances of the three securities are 0.01, 0.02, 0.03, respectively. Using the one-factor risk model, what is the variance of a portfolio with weights 0.6 W = 0.4 0 0.065 0.058 0.014 0.049

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