Suppose the standard deviation of the market return is 17%.

a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.4? (Enter your answer as a percent rounded to the nearest whole number.)

Standard deviation %

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 the nearest whole number.)

Standard deviation %

c. A well-diversified portfolio has a standard deviation of 10%. What is its beta? (Round your answer to 2 decimal places.)

Beta

d. A poorly diversified portfolio has a standard deviation of 17%. What can you say about its beta?

a.Less than 1.0

b. Equal to 1.0

c. Greater than 1.0