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.
Correct Answer:
Verified
Correct Answer:
Verified
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