Multiple Choice
Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 22%. The standard deviation on the factor portfolio is 14%. The beta of the well-diversified portfolio is approximately
A) 0.80.
B) 1.13.
C) 1.25.
D) 1.57.
Correct Answer:
Verified
Correct Answer:
Verified
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