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 ? 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