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 0.25 and $\sigma$ _M was 0.21, the $\beta$ of the portfolio would be approximately ________.

A) 0.64
B) 1.19
C) 1.25
D) 1.56