What is the standard deviation of the market portfolio if the standard deviation of a diversified portfolio with a Beta of 1.25 equals 20%?
A)16.00%
B)18.75%
C)25.00%
D)32.505%

Name: What is the standard deviation of the market portfolio if the standard deviation of a diversified portfolio with a Beta of 1.25 equals 20%? A)16.00% B)18.75% C)25.00% D)32.505%
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Question

Quizplus · Accepted Answer

Portfolio $\sigma$ = Beta * market portfolio  $\sigma$
20% = 1.25 *  $\sigma$S1U1B1mS1U1B0S1U1B1
16% =  $\sigma$S1U1B1mS1U1B0S1U1B1

What Is the Standard Deviation of the Market Portfolio If