Consider the one-factor APT.The standard deviation of returns on a well-diversified portfolio is 19%.The standard deviation on the factor portfolio is 12%.The beta of the well-diversified portfolio is approximately __________.
A)1.58
B)1.13
C)1.25
D)0.76
E)none of the above

Question

Quizplus · Accepted Answer

The beta of a well-diversified portfolio in a one-factor APT model is calculated as the ratio of the standard deviation of the portfolio to the standard deviation of the factor portfolio. Thus, beta = 19% / 12% = 1.58.

Consider the One-Factor APT