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In the APT Model, What Is the Nonsystematic Standard Deviation σ\sigma

Question 12

Multiple Choice

In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ\sigma (ei) equal to 20% and 20 securities?


A) 12.5%
B) 625%
C) 4.47%
D) 3.54%

Correct Answer:

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