Solved

Consider the One-Factor APT

Question 16

Multiple Choice

Consider the one-factor APT.The variance of returns on the factor portfolio is 6%.The beta of a well-diversified portfolio on the factor is 1.1.The variance of returns on the well-diversified portfolio is approximately __________.


A) 3.6%
B) 6.0%
C) 7.3%
D) 10.1%
E) none of the above

Correct Answer:

verifed

Verified

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

Related Questions

Q4: Discuss arbitrage opportunities in the context of

Q11: Consider the multifactor APT. There are

Q12: Consider the multifactor model APT with two

Q13: If you invested in an equally weighted

Q14: Consider the single-factor APT.Stocks A and B

Q15: _ a relationship between expected return and

Q18: Which of the following factors did Chen,Roll

Q19: The feature of the APT that offers

Q20: The exploitation of security mispricing in such

Q26: In the APT model, what is the