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U.S. market portfolio: Variance: 0.06 Foreign asset: Variance estimated based on dollar rate of return: 0.10 Correlation Coefficient (estimated based on dollar rate of return)

U.S. market portfolio:

Variance: 0.06

Foreign asset:

Variance estimated based on dollar rate of return: 0.10

Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign asset: .30

What is the firm-specific risk component for the foreign asset?

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