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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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