Solved

Consider the One-Factor APT

Question 92

Multiple Choice

Consider the one-factor APT.The standard deviation of returns on a well-diversified portfolio is 18%.The standard deviation on the factor portfolio is 16%.The beta of the well-diversified portfolio is approximately __________.


A) 0.80
B) 1.13
C) 1.25
D) 1.56
E) none of these

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q4: Imposing the no-arbitrage condition on a single-factor

Q15: _ a relationship between expected return and

Q27: The Security Characteristic Line (SCL)associated with the

Q87: Consider the one-factor APT.The variance of returns

Q88: Assume that stock market returns do not

Q89: In the context of the Arbitrage Pricing

Q90: Suppose you held a well-diversified portfolio with

Q93: The index model for stock A has

Q94: In a factor model,the return on a

Q95: Security A has a beta of 1.0