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Consider the One-Factor APT

Question 1

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 the above

Correct Answer:

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