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The variance of an optimally diversified (efficient) portfolio with a beta of 0.9 is a. 0.81 times the variance of the market b. 0.90 times

The variance of an optimally diversified (efficient) portfolio with a beta of 0.9 is

a. 0.81 times the variance of the market

b. 0.90 times the variance of the market

c. The same as the variance of the market

d. Can't compute without more information

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