Question: In the APT model, what is the nonsystematic standard deviation of an equally-weighted, well diversified portfolio of 260 securities that has an average value (across

In the APT model, what is the nonsystematic standard deviation of an equally-weighted, well diversified portfolio of 260 securities that has an average value (across securities) of nonsystematic standard deviation, ?(e_i), equal to 22%?

Nonsystematic standard deviation ____%

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