What is the portfolios residual risk and active risk

Reference no: EM13925544

1. Suppose the benchmark is not the market, and the CAPM holds. How will the CAPM expected returns split into the categories suggested in this chapter?

2. Given a benchmark risk of 20 percent and a portfolio risk of 21 percent, and assuming a portfolio beta of 1, what is the portfolio's residual risk? What is its active risk? How does this compare to the difference between the portfolio risk and the benchmark risk?

Reference no: EM13925544

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