Consider the one-factor APT.The standard deviation of returns on a well-diversified portfolio is 18%.The standard deviation on the factor portfolio is 16%.The beta of the well-diversified portfolio is approximately __________.
A) 0.80
B) 1.13
C) 1.25
D) 1.56
E) none of these

Question

Quizplus · Accepted Answer

Beta of portfolio = (standard deviation of portfolio / standard deviation of factor portfolio)

Beta of portfolio = (18% / 16%) = 1.125

So, the closest answer choice is B, which is 1.13.

Consider the One-Factor APT