博迪第八版投资学第十章课后习题答案(4)

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The sensitivity of the payoff of this portfolio to the market factor is zero because the exposures of the positive alpha and negative alpha stocks cancel out. (Notice that the terms involving R M sum to zero.) Thus, the systematic component of total risk is also zero. The variance of the analyst’s profit is not zero, however, since this portfolio is not well diversified.

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