Given a correlation coefficient of 0.85 between portfolio A and the market portfolio,a standard deviation of portfolio A of 26% and a standard deviation of the market portfolio of 18%,what is the portfolio beta?

A) $ 0.588 $
B) $ 0.691 $
C) $ 0.743 $
D) $ 1.230 $

Question

Given a correlation coefficient of 0.85 between portfolio A and the market portfolio,a standard deviation of portfolio A of 26% and a standard deviation of the market portfolio of 18%,what is the portfolio beta?

A) $ 0.588 $
B) $ 0.691 $
C) $ 0.743 $
D) $ 1.230 $

Quizplus · Accepted Answer

Using equation 8.2,we can compute the portfolio beta as follow,ß_A = (0.85 F1F1F1S1F1F1F10 0.26)/0.18 = 1.227.

Given a Correlation Coefficient of 0 0.588 0.588 0.588 B) 0.691 0.691 0.691

Given a Correlation Coefficient of 0 $0.588$ B) $0.691$