Suppose you worked for PIMCO and managed a well-diversified portfolio with a very large number of equity securities. Instead of estimating all the covariances and variance, you assume a single index model (i.e., market model) can explain stock returns. If the (sigma) of your portfolio was 0.30 and _M was 0.16, the of the portfolio would be approximately

Group of answer choices

1.88.

1.80.

1.56.

0.64.