In a Single-Factor APT Model, the Variance of Returns on the Factor

question 38

Multiple Choice

In a single-factor APT model, the variance of returns on the factor portfolio is 9%, and the beta of a well-diversified portfolio on the factor is 1.2. What is the variance of return on the well-diversified portfolio?

• A) 3.60
• B) 10.80
• C) 12.96
• D) 14.06

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