The beta of an active portfolio is 1.36. The standard deviation of the returns on the market index is 22%. The nonsystematic variance of the active portfolio is 1.2%. The standard deviation of the returns on the active portfolio is
A. 3.19%.
B. 31.86%.
C. 42.00%.
D. 27.57%.
E. 2.86%.
B. 31.86%.
s = [(1.36)2(0.22)2 + 0.012]1/2 = [0.10152]1/2 = 31.86%.
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