Multiple Choice
Consider the one-factor APT.The variance of returns on the factor portfolio is 6%.The beta of a well-diversified portfolio on the factor is 1.1.The variance of returns on the well-diversified portfolio is approximately __________.
A) 3.6%
B) 6.0%
C) 7.3%
D) 10.1%
E) none of these
Correct Answer:
Verified
Correct Answer:
Verified
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