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Consider the One-Factor APT

Question 38

Multiple Choice

Consider the one-factor APT.The variance of returns on the factor portfolio is 11%.The beta of a well-diversified portfolio on the factor is 1.45.The variance of returns on the well-diversified portfolio is approximately __________.


A) 23.1%
B) 6.0%
C) 7.3%
D) 14.1%
E) none of the above

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