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Consider the One-Factor APT

Question 69

Multiple Choice

Consider the one-factor APT. The variance of the return on the factor portfolio is .08. The beta of a well-diversified portfolio on the factor is 1.2. The variance of the return on the well-diversified portfolio is approximately ________.


A) .1152
B) .1270
C) .1521
D) .1342

Correct Answer:

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