The Beta of an Active Portfolio Is

question 10

Multiple Choice

The beta of an active portfolio is .97. The standard deviation of the returns on the market index is 15%. The nonsystematic variance of the active portfolio is 0.03. The standard deviation of the returns on the active portfolio is

• A) 36.30%.
• B) 22.62%.
• C) 19.60%.
• D) 24.17%.
• E) 27.61%.

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