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The Beta of an Active Portfolio Is 2

Question 14

Multiple Choice

The beta of an active portfolio is 2.03. The standard deviation of the returns on the market index is 25%. The nonsystematic variance of the active portfolio is 0.06. The standard deviation of the returns on the active portfolio is


A) 56.35%.
B) 42.62%.
C) 39.60%.
D) 34.17%.
E) 26.00%.

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