Multiple Choice
The beta of an active portfolio is 1.20. The standard deviation of the returns on the market index is 20%. The nonsystematic variance of the active portfolio is 1%. The standard deviation of the returns on the active portfolio is
A) 3.84%.
B) 5.84%.
C) 19.60%.
D) 24.17%.
E) 26.0%.
Correct Answer:
Verified
Correct Answer:
Verified
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