In the APT Model, What Is the Nonsystematic Standard Deviation $\sigma$

question 27

Multiple Choice

In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of $\sigma$ (e_i) equal to 18% and 250 securities?

• A)1.14%
• B)625%
• C)0.5%
• D)3.54%

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