Question: Suppose that security returns are described by a single factor model. A well diversified portfolio return: Grupo de opciones de respuesta has no alpha even

Suppose that security returns are described by a single factor model. A well diversified portfolio return:
Grupo de opciones de respuesta
has no alpha even if markets are not in equilibrium
has no idiosyncratic risk
has a perfect linear relationship with the factor return (E(e)=0)
only carries factor risk

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