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Consider the One-Factor APT

Question 4

Multiple Choice

Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately


A) 0.80.
B) 1.13.
C) 1.25.
D) 1.56.

Correct Answer:

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