Question
Consider the single factor model. The standard deviation of returns on a well-diversified portfolio is 22%. The standard deviation on the factor portfolio is 14%.
Consider the single factor model. The standard deviation of returns on a well-diversified portfolio is 22%. The standard deviation on the factor portfolio is 14%. The beta of the well-diversified portfolio is approximately
Question 6 options:
1.25 | |
0.80 | |
1.57 | |
None of the other answers. | |
1.13 |
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Business Forecasting
Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
