Suppose You Held a Well-Diversified Portfolio with a Very Large $\sigma$

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 $\sigma$ of your portfolio was 0.18 and $\sigma$ _M was 0.24, the $\beta$ of the portfolio would be approximately

A) 0.75.
B) 0.56.
C) 0.07.
D) 1.03.