Question
Consider the following statements on the characteristics of well-diversified portfolios under the single-factor APT. Statement I. The beta of well-diversified portfolios equals 1. Statement II.
Consider the following statements on the characteristics of well-diversified portfolios under the single-factor APT.
Statement I. The beta of well-diversified portfolios equals 1. Statement II. The variance of returns of well-diversified portfolios equals that of the factor portfolio.
Statement III. The non-systematic risk of well-diversified portfolios is 0.
Choose the correct answer. a. Statement I is correct, Statements lI and III are incorrect.
b. Statements I, Il and III are correct.
c. Statement II is correct, Statements I and III are incorrect.
d. Statements I, Il and III are incorrect. O
e. Statement II is correct, Statements I ancIl are incorrect.
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