Return on the well-diversified portfolio

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Reference no: EM13151073

Consider the one-factor APT. The variance of the return on the factor portfolio is .08. The beta of a well-diversified portfolio on the factor is 1.2. The variance of the return on the well-diversified portfolio is approximately _________.

A. .1152

B. .1270

C. .1521

D. .1342

Reference no: EM13151073

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