题目问的the portfolio with the highest active-factor risk exposure to the style factor is ?
答案用的是 style risk squared 10)/active risk squared(16)=62.5%(portfolio z)
讲义中的公式是active risk squared=active factor risk /active specific risk(security selection risk)
所以变形后 求active factor risk=active risk squared*active specific risk=10*2 (不应该是这个吗？）虽然题目求的是style factor 而且是squared，那题目中style factor 和active risk squared 不都是squared了吗？
这部分不是很理解，求解答 ，谢谢！
