Consider the One-Factor APT

question 92

Multiple Choice

Consider the one-factor APT.The standard deviation of returns on a well-diversified portfolio is 18%.The standard deviation on the factor portfolio is 16%.The beta of the well-diversified portfolio is approximately __________.

• A) 0.80
• B) 1.13
• C) 1.25
• D) 1.56
• E) none of these