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 0.8? (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 O? (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? (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? a a. Standard deviation % % b b. Standard deviation c. c. Beta d. Less than 1.0 Equal to 1.0 Greater than 1.0