Question: Let p be the correlation between the return of an asset and market portfo- lio, and let be its beta. According to the econometric interpretation

Let p be the correlation between the return of an asset

Let p be the correlation between the return of an asset and market portfo- lio, and let be its beta. According to the econometric interpretation of CAPM, the fraction of the variance of an asset's return due to its specific (diversifiable) risk is (a) B (b) 1 (c) 1 (d) p2

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