标题: Port Mgmt question [打印本页] 作者: mkytz15 时间: 2011-7-11 19:20 标题: Port Mgmt question
Assume the correlation coefficient between CSCO and the market is 0.40. What percentage of CSCO's total risk is idiosyncratic (ie nonsystematic) (round your answer to nearest $)?
a) 40%
b) 60%
c) 16%
d) 84%
e) none of the above.作者: ppls 时间: 2011-7-11 19:20
Answer is e. You need to know the standard deviations of CSCO and Market.作者: ayaz_mahmud369 时间: 2011-7-11 19:20
Answe is d, because the coefficient of determination tells you how much is explained by the regression, the rest which is 84% is due to something else.作者: jacksparrow 时间: 2011-7-11 19:20
In a simple regression R^2 can be approximated to Rho^2, so R^2 =16% which means that the idiosyncratic risk is 84%
