Question: You have used historical data in a Markowitz optimisation problem. Applying the SIM to the resulting covariance matrix will... a. eliminate non-systematic covariance between assets.

You have used historical data in a Markowitz optimisation problem. Applying the SIM to the resulting covariance matrix will... a. eliminate non-systematic covariance between assets. b. eliminate systematic and non-systematic covariance between assets. c. eliminate systematic covariance between assets. d. eliminate non-systematic variance for a single asset and non-systematic covariance between assets. e. eliminate systematic variance for a single asset and systematic covariance between assets

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