Based on a one-factor model, security A has a sensitivity of - .50, whereas security B has

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Based on a one-factor model, security A has a sensitivity of - .50, whereas security B has a sensitivity of 1.25. If the covariance between the two securities is -312.50, what is the standard deviation of the factor?

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Fundamentals of Investments

ISBN: 978-0132926171

3rd edition

Authors: Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey

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Question Posted: Mar 16, 2016 02:52 AM

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Based on a one-factor model, security A has a sensitivity of - .50, whereas security B has

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