Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 27.50%. The standard deviation on thefactor portfolio is 24.50%.What is the beta of the well-diversified portfolio? (Round your answer to 5 decimal places.)Beta

=> beta is defined as the standard deviation of the portfolio divided by the standard deviation…

Answered: Consider the one-factor APT. The…

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter3: Risk And Return: Part Ii

Section: Chapter Questions

Problem 1P: The standard deviation of stock returns for Stock A is 40%. The standard deviation of the market...

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Similar questions

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Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B has an expected return of 18% and a standard deviation of 60%. The correlation coefficient between Stocks A and B is 0.2. What are the expected return and standard deviation of a portfolio invested 30% in Stock A and 70% in Stock B?
Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of 14.4% and standard deviation of 4.4%. a. What is the probability that the large-cap stock fund has a return of at least 20%? b. What is the probability that the large-cap stock fund has a return of 10% or less?
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Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 27.50%. The standard deviation on the factor portfolio is 24.50%. What is the beta of the well-diversified portfolio? (Round your answer to 5 decimal places.) Beta