Suppose You Held a Well-Diversified Portfolio with a Very Large $\sigma$

question 45

Multiple Choice

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds.If the $\sigma$ of your portfolio was 0.20 and $\sigma$ _M was 0.16, the $\beta$ of the portfolio would be approximately

• A)0.64.
• B)0.80.
• C)1.25.
• D)1.56.

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