Question: Question 3 Mark 0.34 out of 0.34 Correct Consider a long-short portfolio. Beta of this portfolio is zero and its volatility is 20%. What is

Question 3 Mark 0.34 out of 0.34 Correct Consider a long-short

Question 3 Mark 0.34 out of 0.34 Correct Consider a long-short portfolio. Beta of this portfolio is zero and its volatility is 20%. What is the portfolio-specific (unsystematic) variance of this portfolio? The correct answer is: 0.04

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