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

question 72

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 σ of your portfolio was 0.18 and σ_M was 0.22, the β of the portfolio would be approximately

• A) 0.82.
• B) 0.56.
• C) 0.07.
• D) 1.03.

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Definitions:

Zoos

Facilities where animals are housed within enclosures, displayed to the public, and often bred for conservation purposes.

Sacajawea

A Lemhi Shoshone woman who is best known for her role as an interpreter and guide during the Lewis and Clark Expedition.

Lewis and Clark

Explorers Meriwether Lewis and William Clark, who led the early 19th-century expedition across the western United States to explore territories acquired in the Louisiana Purchase.

Shoshone Indian

A member of a Native American people originally from the western United States, including parts of California, Nevada, Utah, and Idaho.