Using the data from Problem 5, assume the model is now an Industry Index Model where I1

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Using the data from Problem 5, assume the model is now an Industry Index Model where I1 = Im and that I2 is now an industry index. Assuming that firms A and B are in the same industry, calculate the covariance of returns.
In Problem 5

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Modern Portfolio Theory and Investment Analysis

ISBN: 978-1118469941

9th edition

Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann

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Question Posted: Jun 10, 2015 03:35 AM

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Using the data from Problem 5, assume the model is now an Industry Index Model where I1

Question:

915 1011 130 B3111 . A28 2002

Step by Step Answer:

For an industryindex model the text gives two formulas for the covariance between securitie...View the full answer

Modern Portfolio Theory and Investment Analysis

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