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Consider the One-Factor APT

Question 61

Multiple Choice

Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately


A) 3.6%.
B) 6.0%.
C) 7.3%.
D) 10.1%.

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