Problem $8-4$ Portfolio betas

Suppose the standard deviation of the market return is $11\%.$

a$.$ What is the standard deviation of returns on a well$-$diversified portfolio with a beta of $0\mathrm{.}8?$

Note: Enter your answer as a percent rounded to $2$ decimal places.

b$.$ What is the standard deviation of returns on a well$-$diversified portfolio with a beta of $0?$

Note: Enter your answer as a percent rounded to $2$ decimal places.

c$.$ A well$-$diversified portfolio has a standard deviation of $6\%.$ What is its beta?

Note: Round your answer to $2$ decimal places.

d$.$ A poorly diversified portfolio has a standard deviation of $11\%.$ What can you say about its beta?