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The beta of a well-diversified portfolio on the factor is

Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately _____.

A. 3.6% B. 6.0% C. 7.3% D. 10.1% E. 8.6%

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Finance Basics: The beta of a well-diversified portfolio on the factor is

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Finance Basics: The beta of a well-diversified portfolio on the factor is

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