Consider the One-Factor APT

question 23

Multiple Choice

Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of the well-diversified portfolio is approximately

• A) 1.58.
• B) 1.13.
• C) 1.25.
• D) 0.76.

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