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We have 10 stocks with the same standard deviation of 20%. Assume CAPM market beta captures all undiversifiable risk. We further assume (Rmkt) is 15%.

We have 10 stocks with the same standard deviation of 20%. Assume CAPM market beta captures all undiversifiable risk. We further assume (Rmkt) is 15%. If all 10 stocks have a market beta of 1, what is the standard deviation of an equally-weighted portfolio of these 10 stocks?
A. 20%
B. 15%
C. Between 15% and 20%

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