$6$ Consider the one$-$factor APT. The variance of the return on the factor portfolio is $0\mathrm{.}08.$ The beta of a welldiversified portfolio on the factor is $1\mathrm{.}3.$ The variance of the return on the well$-$diversified portfolio is approximately

Select one alternative:

$0\mathrm{.}1352$

$0\mathrm{.}1568$

$0\mathrm{.}1152$

$0\mathrm{.}0968$