Multiple Choice
Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of the well-diversified portfolio is approximately
A) 1.58.
B) 1.13.
C) 1.25.
D) 0.76.
Correct Answer:
Verified
Correct Answer:
Verified
Related Questions
Q18: The APT was developed in 1976 by<br>A)
Q19: In the APT model, what is the
Q20: A zero-investment portfolio with a positive expected
Q21: In a factor model, the return on
Q22: Which pricing model provides no guidance concerning
Q24: Consider the multifactor APT. There are
Q25: Consider the multifactor APT with two factors.
Q26: In the APT model, what is the
Q27: Consider a one-factor economy. Portfolio A has
Q28: In a multifactor APT model, the coefficients