In the APT Model, What Is the Nonsystematic Standard Deviation

question 40

Multiple Choice

In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e_i) equal to 20% and 40 securities?

• A) 12.5%
• B) 625%
• C) 0.5%
• D) 3.54%
• E) 3.16%

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