What are the average total risk residual risk and beta of


1. What are the average total risk, residual risk, and beta of the MMI assets (relative to the CAPMMI)?

2. Using MMI assets, construct a 20-stock portfolio to track the S&P 500. Compare the resulting tracking error to the answer to Exercise 4, where w0 is the average residual risk for MMI assets.

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Risk Management: What are the average total risk residual risk and beta of
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