Consider the One-Factor APT

question 87

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

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A significant commodity export from Malaysia, palm oil is a vegetable oil obtained from the fruit of the African oil palm tree and is used in food, cosmetics, and biofuel.

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