Multiple Choice
The beta of an active portfolio is .97. The standard deviation of the returns on the market index is 15%. The nonsystematic variance of the active portfolio is 0.03. The standard deviation of the returns on the active portfolio is
A) 36.30%.
B) 22.62%.
C) 19.60%.
D) 24.17%.
E) 27.61%.
Correct Answer:
Verified
Correct Answer:
Verified
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