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Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 0.6.

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Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 0.6. The standard deviation of returns on the well-diversified portfolio is approximately O a. None of the given choices is correct Ob 0.189 . .022. O d. 0.147. O e 0.036

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