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 0.20 and σ_M was 0.16,the β of the portfolio would be approximately ________. A) 0.64 B) 0.80 C) 1.25 D) 1.56 E) none of these

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Quizplus · Accepted Answer

The beta (β) of the portfolio can be calculated using the formula: β = σ / σ_M. Substituting the given values, β = 0.20 / 0.16 = 1.25.

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