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. 7.3%. B. 3.6%. C. 10.1%. D. 6.0%.
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. 7.3%. B. 3.6%. C. 10.1%. D. 6.0%.
Chapter8: Risk And Rates Of Return
Section: Chapter Questions
Problem 9PROB
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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. 7.3%.
B. 3.6%.
C. 10.1%.
D. 6.0%.
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