1. Under the single factor scenario, a security has a covariance of 476 with the market portfolio. If the standard deviation of the market portfolio is 20, what is the systematic risk, as a proportion of the total risk (measured as variance) if the security has a standard deviation of 28?
A. 72.25%
B. 27.75%
C. 71.4%
2. Under the single factor scenario, a security has a covariance of 476 with the market portfolio. If the standard deviation of the market portfolio is 20, what is the diversifiable risk (measured as variance) if the security has a standard deviation of 28?
A. 14.75
B. 217.56
C. 90.63