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.
A. 1.58.
(19%)2 = (12%)2b2; b = 1.58.
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