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You are attempting to build a portfolio using the index model method, and are currently trying...

You are attempting to build a portfolio using the index model method, and are currently trying to find the composition of your actively managed portfolio, which will consist of two assets with the following characteristics:

Asset Alpha Beta Firm-specific Variance

1

 0.013 1.47 0.295
2 0.012 1.8 0.063

What percentage of your active portfolio will be made of Asset 1?

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