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 σMwas 0.24,the b of the portfolio would be approximately ________.
A) 0.75
B) 0.56
C) 0.07
D) 1.03
E) 0.86
Correct Answer:
Verified
Correct Answer:
Verified
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