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 0.25 and β_Mwas 0.21,the β of the portfolio would be approximately ________.

A) 0.64
B) 1.19
C) 1.25
D) 1.56
E) none of the above