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Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 13%. The standard deviation won the factor portfolio is 11%. The

Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 13%. The standard deviation won the factor portfolio is 11%. The beta of the well-diversified portfolio is approxiamately:

a.1.82

b. 1.65

c. 0.80

d. 1.18

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