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 β of your portfolio was 0.18 and β_Mwas 0.24,the β of the portfolio would be approximately ________.

A) 0.75
B) 0.56
C) 0.07
D) 1.03
E) none of the above