What Is the Value of Systematic Risk for a Portfolio

question 234

Multiple Choice

What is the value of systematic risk for a portfolio with 75% of the funds invested in A and 25% of the funds invested in B?

• A) 0.98
• B) 1.13
• C) 1.28
• D) 1.40
• E) 1.60

---

Definitions:

α

Alpha (α) is a threshold value used in hypothesis testing to determine the significance level at which the null hypothesis can be rejected.

Effect Size

A numeric evaluation of the size of the effect observed in an experiment.

T-statistic

A type of statistic used in hypothesis testing, derived from the standardized difference between a sample statistic and its hypothesized population value, divided by the standard error.

Perfect Relationship

Refers to a situation where two variables move together in either 100% positive or 100% negative linear correlation, indicating a direct relationship without any variation.