Question: 1. On the basic of one factor model, consider a portfolio of two securities with the following characteristics: Security Factor Sensitivity Nonfactor Risk Proportion (W)

1. On the basic of one factor model, consider a portfolio of two securities with the following characteristics: Security Factor Sensitivity Nonfactor Risk Proportion (W) A 0,2 49 0,4 B 3,5 100 0,6 a. If the standard deviation of the factor is 15%, what is the factor risk of the portfolio? b. What is the nonfactor risk of the portfolio? c. What is the portfolio's standard deviation?

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