Based on a one factor model, for two securities A and B, rAt 5 8Ft eAt rBt 7 12Ft eBt, F 18 eA 25 eB 15 Calculate the standard deviation of each security ...

In a onefactor model world the sta ...

Based on a one-factor model, for two securities A and B, rAt= 5% + .8Ft + eAt

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Based on a one-factor model, for two securities A and B,
rAt= 5% + .8Ft + eAt
rBt = 7% + 12Ft + eBt,
σF = 18%
σeA = 25%
σeB = 15%
Calculate the standard deviation of each security.

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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 02:53 AM

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Based on a one-factor model, for two securities A and B, rAt= 5% + .8Ft + eAt

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Fundamentals of Investments

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