Problem

Suppose the standard deviation of the market return is 20%.a. What is the standard deviati...

Suppose the standard deviation of the market return is 20%.

a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3?


b. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0?


c. A well-diversified portfolio has a standard deviation of 15%. What is its beta?


d. A poorly diversified portfolio has a standard deviation of 20%. What can you say about its beta?

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Solutions For Problems in Chapter 7