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 0.18 and σ_Mwas 0.24,the b of the portfolio would be approximately ________. A) 0.75 B) 0.56 C) 0.07 D) 1.03 E) 0.86

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Quizplus · Accepted Answer

The beta (b) of a portfolio in the single index model is calculated as the ratio of the portfolio's standard deviation (σ) to the market's standard deviation (σ_M). Here, b = 0.18 / 0.24 = 0.75.

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