The beta of an active portfolio is 1.20. The standard deviation of the returns on the market index is 20%. The nonsystematic variance of the active portfolio is 1%. The standard deviation of the returns on the active portfolio is
A. 3.84%.
B. 5.84%.
C. 19.60%.
D. 24.17%.
E. 26.0%.
E. 26.0%.
s = [(1.2)2(0.2)2 + 0.01]1/2 = [0.0676]1/2 = 26.0%.
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