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You have the following information: A B C D Market Alpha 1% 2% 3% -2% 0% Beta 2 1.5 0.5 2 1 Res. Variance 1.00%

You have the following information: A B C D Market Alpha 1% 2% 3% -2% 0% Beta 2 1.5 0.5 2 1 Res. Variance 1.00% 2.00% 0.90% 0.85% 0.00% Std.Dev 9% 15% 12% 11% 8% Excess Return 6% What is the residual variance of the active portfolio? (The margin of error here is +/- 0.01.)

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