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The Covariance Between Security D and Security E Is 90

Question 2

Multiple Choice

The covariance between Security D and Security E is 90. In a one-factor model, the sensitivity for D is 4; the sensitivity for E is 1.5. The variance for the factor is


A) 15%.
B) 3.9%.
C) 540%.
D) 4.9%.

Correct Answer:

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