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Consider the One-Factor APT

Question 40

Multiple Choice

Consider the one-factor APT.The standard deviation of returns on a well-diversified portfolio is 22%.The standard deviation on the factor portfolio is 14%.The beta of the well-diversified portfolio is approximately __________.


A) 0.80
B) 1.13
C) 1.25
D) 1.57
E) none of the above

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