The beta of a well-diversified portfolio is equal to the value weighted average beta of the securities included in the portfolio.

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Quizplus · Accepted Answer

This statement is true. The beta of a well-diversified portfolio is calculated as the weighted average of the betas of individual securities in the portfolio, weighted by the value of each security in the portfolio. This means that the beta of the portfolio is an indication of the systematic risk of the overall portfolio, and can be used to estimate the expected return of the portfolio based on the risk-free rate and the market risk premium.

The Beta of a Well-Diversified Portfolio Is Equal to the Value