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Consider the One-Factor APT

Question 84

Multiple Choice

Consider the one-factor APT.The standard deviation of return on a well-diversified portfolio is 20%.The standard deviation on the factor portfolio is 12%.The beta of the well-diversified portfolio is approximately _________.


A) 0.60
B) 1.00
C) 1.67
D) 3.20

Correct Answer:

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