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Consider a CAPM universe. The variance of the return on the factor portfolio is .03. The beta of a well-diversified portfolio is 3. The variance

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Consider a CAPM universe. The variance of the return on the factor portfolio is .03. The beta of a well-diversified portfolio is 3. The variance of the return of the well-diversified portfolio is O 0.21 O 0.24 0 0.27 0 None of the above

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