Multiple Choice
Consider the one-factor APT. The variance of returns on the factor portfolio is 5%. The beta of a well-diversified portfolio on the factor is 1.2. The variance of returns on the well-diversified portfolio is approximately
A) 3.6%.
B) 7.2%.
C) 8.3%.
D) 19.1%.
Correct Answer:
Verified
Correct Answer:
Verified
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