7. Portfolio risk Suppose the standard deviation of the market return is 20%. 1. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3? 2. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? 3. A well-diversified portfolio has a standard deviation of 15%. What is its beta? 4. A poorly diversified portfolio has a standard deviation of 20%. What can you say about its beta?