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 σM was 0.22, the β of the portfolio would be approximately
A) 0.82.
B) 0.56.
C) 0.07.
D) 1.03.
Correct Answer:
Verified
Correct Answer:
Verified
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