In a Portfolio of Risky Assets,the Portfolio's Response to Any

question 20

Multiple Choice

In a portfolio of risky assets,the portfolio's response to any factor,F_i,can be determined by:

• A)multiplying the portfolio weighted average β_i by the factor F_i.
• B)computing the portfolio weighted average F_i.
• C)multiplying the CAPM beta times the factor.
• D)summing the weighted random errors.
• E)dividing the percentage change in the factor,F_i,by the total number of factors affecting the portfolio.

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Definitions:

PHStat

An Excel add-in designed to perform statistical analysis, it provides tools for statistical tests, data analysis, and graphical presentations.

Coefficient of Variation

A standardized measure of dispersion of a probability distribution or frequency distribution, calculated as the ratio of the standard deviation to the mean.

PHStat

An Excel add-in that enhances the statistical capabilities of Microsoft Excel, providing tools for statistical analysis and decision-making.

Return to Risk Ratio

A measure that compares the expected returns of an investment to the risk or volatility associated with it.