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Consider the One-Factor APT

Question 72

Multiple Choice

Consider the one-factor APT.The variance of returns on the factor portfolio is 9%.The beta of a well-diversified portfolio on the factor is 1.25.The variance of returns on the well-diversified portfolio is approximately __________.


A) 3.6%
B) 6.0%
C) 7.3%
D) 14.1%
E) none of the above

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