Deviation of returns on well-diversified portfolio with beta

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Suppose the standard deviation of the market return is 15%.

a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.2? (Enter your answer as a percent rounded to the nearest whole number.)

Standard deviation             %

b. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? (Enter your answer as a percent rounded to the nearest whole number.)

Standard deviation             %

c. A well-diversified portfolio has a standard deviation of 8%. What is its beta? (Round your answer to 2 decimal places.)

Beta

Reference no: EM131510789

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