A diversified portfolio has a beta of 1.2; the market variance is 0.25. What is the diversified portfolio's variance?
A) 0.33
B) 0.36
C) 0.41
D) 0.44

Name: A diversified portfolio has a beta of 1.2; the market variance is 0.25. What is the diversified portfolio's variance? A) 0.33 B) 0.36 C) 0.41 D) 0.44
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Question

Quizplus · Accepted Answer

The variance of a portfolio is calculated as the square of the portfolio's beta multiplied by the market variance. Here, (1.2)^2 * 0.25 = 0.36.

A Diversified Portfolio Has a Beta of 1