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

question 33

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 0.24 and σ_M was 0.18, the β of the portfolio would be approximately

• A) 0.64.
• B) 1.33.
• C) 1.25.
• D) 1.56.

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