Suppose You Held a Well-Diversified Portfolio with a Very Large

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 0.20 and σ_M was 0.16,the β of the portfolio would be approximately ________.

A) 0.64
B) 0.80
C) 1.25
D) 1.56
E) none of these