Question: Assuming a one-factor model, consider a portfolio composed of three securities with the following factor sensivities: Security Factor Sensitivity 1 ....................................... 0.9 2 ....................................... 3.0

Assuming a one-factor model, consider a composed of three securities with the following factor sensivities:
Security Factor Sensitivity
1 ....................................... 0.9
2 ....................................... 3.0
3 ....................................... 1.8
If the proportion of security 1 in the is increased by .2, how must the proportions of the other two securities change if the is to maintain the same factor sensitivity?

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