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

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

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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