In a portfolio of risky assets,the portfolio's response to any factor,F_i,can be determined by: A)multiplying the portfolio weighted average β_i by the factor F_i. B)computing the portfolio weighted average F_i. C)multiplying the CAPM beta times the factor. D)summing the weighted random errors. E)dividing the percentage change in the factor,F_i,by the total number of factors affecting the portfolio.

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Quizplus · Accepted Answer

The portfolio's response to a factor can be determined by multiplying the portfolio's weighted average beta for that factor by the percentage change in the factor. This is based on the concept of beta, which measures the sensitivity of a security or portfolio to changes in the market or a specific factor.

In a Portfolio of Risky Assets,the Portfolio's Response to Any