If X Is a Normal Random Variable with a Standard

question 67

Multiple Choice

If X is a normal random variable with a standard deviation of 10,then 3X has a standard deviation equal to

• A)10.
• B)13.
• C)30.
• D)90.

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Definitions:

Factor Portfolio

A portfolio constructed to have a high sensitivity to specific risk factors, aiming to capture the risk premiums associated with those factors.

Well-diversified Portfolio

An investment portfolio constructed to minimize risk by spreading investments across various asset classes.

Beta

The volatility or risk associated with a specific investment relative to the broader market.

Systematic Risk

The unavoidable risk associated with the whole market or a segment of it, referred to as market risk, that diversification cannot mitigate.