Suppose the standard deviation of the market return is 13%. a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0.6 ? (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 ? (Enter your answer as a percent rounded to 2 decimal places.) c. A well-diversified portfolio has a standard deviation of 8%. What is its beta? (Round your answer to 2 decimal places.) d. A poorly diversified portfolio has a standard deviation of 13%. What can you say about its beta