Suppose the standard deviation of the market return is 16%. a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0.9? (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 11%. What is its beta? (Round your answer to 2 decimal places.) d. A poorly diversified portfolio has a standard deviation of 16%. What can you say about its beta? a. Standard deviation b. Standard deviation % % c. . Beta d. Less than 1.0