Consider the One-Factor APT

question 56

Multiple Choice

Consider the one-factor APT. The variance of returns on the factor portfolio is 9. The beta of a well-diversified portfolio on the factor is 1.25. The variance of returns on the well-diversified portfolio is approximately

• A) 3.6.
• B) 6.0.
• C) 7.3.
• D) 14.1.

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