Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. If the σ of your portfolio was 0.24 and σ_M was 0.18, the β of the portfolio would be approximately A) 0.64. B) 1.33. C) 1.25. D) 1.56.

Question

Quizplus · Accepted Answer

The beta (β) of the portfolio can be calculated using the formula β = σP / σM, where σP is the standard deviation of the portfolio and σM is the standard deviation of the market. Given σP = 0.24 and σM = 0.18, β = 0.24 / 0.18 = 1.33.

Suppose You Held a Well-Diversified Portfolio with a Very Large